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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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