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| 文件名: Risk metrics：technical document.pdf | |
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This
Technical Document provides a detailed description of RiskMetrics Ô , a set of techniques and data to measure market risks in portfolios of fixed income instruments, equities, foreign exchange, commodities, and their derivatives issued in over 30 countries. This edition has been expanded significantly from the previous release issued in May 1995. We make this methodology and the corresponding RiskMetrics Ô data sets available for three reasons: 1. We are interested in promoting greater transparency of market risks. Transparency is the key to effective risk management. 2. Our aim has been to establish a benchmark for market risk measurement. The absence of a common point of reference for market risks makes it difficult to compare different approaches to and measures of market risks. Risks are comparable only when they are measured with the same yardstick. 3. We intend to provide our clients with sound advice, including advice on managing their market risks. We describe the RiskMetrics Ô methodology as an aid to clients in understanding and evaluating that advice. Both J.P. Morgan and Reuters are committed to further the development of RiskMetrics Ô as a fully transparent set of risk measurement methods. We look forward to continued feedback on how to maintain the quality that has made RiskMetrics Ô the benchmark for measuring market risk. RiskMetrics Ô is based on, but differs significantly from, the risk measurement methodology developed by J.P. Morgan for the measurement, management, and control of market risks in its trading, arbitrage, and own investment account activities. We remind our readers that no amount of sophisticated analytics will replace experience and professional judgment in managing risks . RiskMetrics Ô is nothing more than a high-quality tool for the professional risk manager involved in the financial markets and is not a guarantee of specific results. |
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