jp摩根1996年riskmetrics技术文档--方差-协方差法测市场风险.docVIP

J.P.Morgan/Reuters RiskMetricsTM—Technical Document Fourth Edition, 1996 New York December 17, 1996 ? J.P. Morgan and Reuters have teamed up to enhance RiskMetrics? . Morgan will continue to be responsible for enhancing the methods outlined in this document, while Reuters will control the production and distribution of the RiskMetrics? data sets. ? Expanded sections on methodology outline enhanced analytical solutions for dealing with nonlin- ear options risks and introduce methods on how to account for non-normal distributions. ? Enclosed diskette contains many examples used in this document. It allows readers to experiment with our risk measurement techniques. ? All publications and daily data sets are available free of charge on J.P. Morgan’s Web page on the Internet at /RiskManagement/RiskMetrics/RiskMetrics.html. This page is accessible directly or through third party services such as CompuServe? , America Online? , or Prodigy? . Morgan Guaranty Trust Company Risk Management Advisory Jacques Longerstaey (1-212) 648-4936 riskmetrics@ This Technical Document provides a detailed description of RiskMetrics? , a set of techniques and data to measure market risks in portfolios of ?xed income instruments, equities, foreign exchange, commod- ities, and their derivatives issued in over 30 countries. This edition has been expanded signi?cantly from the previous release issued in May 1995. We make this methodology and the corresponding RiskMetrics? data sets available for three reasons: Reuters Ltd International Marketing Martin Spencer (44-171) 542-3260 martin.spencer@ 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 dif?cult to compare different approaches to and mea- sures of market risks. Risks are comparable only when they are measured with