Technical
DocumentReturn to RiskMetrics is an update and supplement to the 1996 RiskMetrics Technical Document, reflecting the wider range of measurement techniques and statistics now part of best practice. It provides comprehensive coverage of Monte Carlo and historical simulation, the treatment of non-linear exposures, stress testing, and asset-management oriented risk reporting.
A non-technical introduction to risk management, addressing the basic issues risk managers face when implementing a firm-wide risk management process. The Practical Guide includes a number of reports and other examples drawn from our work with a wide range of practitioners.
The CorporateMetrics Technical Document describes RiskMetrics' approach to measuring and managing market risk in the corporate environment. It addresses the particular needs of non-financial corporations, such as the measurement of earnings and cash-flow risk over a horizon of several years and regulatory disclosure of derivatives transactions.
Technical
DocumentThe LongRun Technical Document describes several approaches developed by RiskMetrics for long-term forecasting and simulation of financial asset prices.
This edition of the RiskMetrics Technical Document was prepared while RiskMetrics was still a part of J.P. Morgan. It remains a much-cited classic in the field, and provides a clear introduction to the basics of computing and using Value-at-Risk.
CreditGrades provides firm-specific estimates of the term structure of default probabilities. The CreditGrades Technical Document describes the model and data inputs. It also presents statistical and case studies that document the model's accuracy and usefulness in risk measurement and trading.
The CreditMetrics Technical Document describes a now-standard framework for quantifying credit risk, the risk of economic loss due to default or change in credit quality, in portfolios of default-risky assets. The approach addresses traditional credit products such as loans, commitments to lend, and financial letters of credit, fixed income securities, as well as market-driven instruments subject to counterparty default, such as swaps, forwards, and credit derivatives.
RiskMetrics Group provides a set of portfolio risk analysis tools for individual investors, such as RiskGrades, stress testing, and risk-return optimization, at www.riskgrades.com. The RiskGrades Technical Document describes the approach and the computations behind the tools.