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1、J.P.Morgan/ReutersRiskMetricsTM—TechnicalDocument?J.P.MorganandReutershaveteameduptoenhanceRiskMetrics?.Morganwillcontinuetoberesponsibleforenhancingthemethodsoutlinedinthisdocument,whileReuterswillcontroltheFourthEdition,1996productionanddistributionoftheRiskMetrics?datasets
2、.?Expandedsectionsonmethodologyoutlineenhancedanalyticalsolutionsfordealingwithnonlin-NewYorkDecember17,1996earoptionsrisksandintroducemethodsonhowtoaccountfornon-normaldistributions.?Encloseddiskettecontainsmanyexamplesusedinthisdocument.Itallowsreaderstoexperimentwithourris
3、kmeasurementtechniques.?AllpublicationsanddailydatasetsareavailablefreeofchargeonJ.P.Morgan’sWebpageontheInternetathttp://www.jpmorgan.com/RiskManagement/RiskMetrics/RiskMetrics.html.ThispageisaccessibledirectlyorthroughthirdpartyservicessuchasCompuServeò,AmericaOnline?,orPro
4、digyò.MorganGuarantyTrustCompanyThisTechnicalDocumentprovidesadetaileddescriptionofRiskMetrics?,asetoftechniquesanddataRiskManagementAdvisorytomeasuremarketrisksinportfoliosof?xedincomeinstruments,equities,foreignexchange,commod-JacquesLongerstaeyities,andtheirderivativesissu
5、edinover30countries.Thiseditionhasbeenexpandedsigni?cantlyfrom(1-212)648-4936thepreviousreleaseissuedinMay1995.riskmetrics@jpmorgan.comWemakethismethodologyandthecorrespondingRiskMetrics?datasetsavailableforthreereasons:ReutersLtdInternationalMarketing1.Weareinterestedinpromo
6、tinggreatertransparencyofmarketrisks.TransparencyisthekeytoMartinSpencereffectiveriskmanagement.(44-171)542-3260martin.spencer@reuters.com2.Ouraimhasbeentoestablishabenchmarkformarketriskmeasurement.Theabsenceofacommonpointofreferenceformarketrisksmakesitdif?culttocomparediff
7、erentapproachestoandmea-suresofmarketrisks.Risksarecomparableonlywhentheyaremeasuredwiththesameyardstick.3.Weintendtoprovideourclientswithsoundadvice,includingadviceonmanagingtheirmarketrisks.WedescribetheRiskMetrics?methodologyasanaidtoclientsinunderstandingandeval-uatingtha
8、tadvice.BothJ.P.MorganandReutersarecommittedtofurtherthedevelopmento
