RiskMetrics assumes that the market is driven by risk factors with observable covariance. The risk factors are represented by time series of prices or levels of stocks, currencies, commodities, and interest rates.

What is RiskMetrics? RiskMetrics is a set of tools that enable participants in the financial markets to estimate their expo-sure to market risk under what has been called the “Value-at-Risk framework”. RiskMetrics has three basic components: • A set of market risk measurement methodologies outlined in this document.

在险价值（Value at Risk），简称 VaR模型 ，兴起于上世纪90年代，JP Morgan将其发扬，创立了 RiskMetrics系统 。目前VaR模型已被广泛运用于各金融机构的市场风险计量和管理。

Sep 1, 2022 · RiskMetrics is a method for calculating the potential downside risk of a single investment or an investment portfolio. The method assumes that an investment's returns follow a normal...

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目前国内外有多种 VaR 与 ES 的计算方法。 本篇对这些方法进行总结并实际运用。 一、 Delta-Normal法 计算VaR与ES 1.投资组合中VaR与ES的计算. Delta-Normal法也称为 经典风险计量法 (classic Risk Metrics Approach),是一种以参数为基础的解析技术。 这种分析方法有两个重要的假设:

1.9.5 RiskMetrics. During the late 1980s, J.P. Morgan developed a firm-wide value-at-risk system. This modeled several hundred key factors. A covariance matrix was updated quarterly from historical data. Each day, trading units would report by e-mail their positions’ deltas with respect to each of the key factors.

1994年，JPMorgan投资银行在RiskMetrics系统中引入在险价值6VaR（Value-at-Risk） 的概念，得到了国际金融理论和实业界的广泛认可，成为当时应用最广泛的总体金融市场风

RiskMetrics是当今最为流行的风险度量模型,然而其基础假设一标准化收益服从正态分布.却备受置疑.放宽此假设,以更灵活的t分布,广义误差分布.混合正态分布.Johnson Su-正态.Pearson Ⅳ分布代替,建立了五种扩展的RiskMetrics模型.我们用沪深股市日收益数据进行实证比较 ...

RiskMetrics是全球金融市场多资产类别风险评估、建模和报告服务提供商，该公司也是全球领先的公司管理服务和专业知识提供商。 RiskMetrics集团的客户包括2300多位资产经理人、择类投资经理人、抚恤基金和银行以及超过1000多家公司。