jp摩根风险管理技术手册

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1、J.P.Morgan/ReutersRiskMetricsTM—TechnicalDocument•J.P.MorganandReutershaveteameduptoenhanceRiskMetricsÔ.Morganwillcontinuetoberesponsibleforenhancingthemethodsoutlinedinthisdocument,whileReuterswillcontroltheFourthEdition,1996productionanddistributionoftheRiskMetricsÔdatasets

2、.•Expandedsectionsonmethodologyoutlineenhancedanalyticalsolutionsfordealingwithnonlin-NewYorkDecember17,1996earoptionsrisksandintroducemethodsonhowtoaccountfornon-normaldistributions.•Encloseddiskettecontainsmanyexamplesusedinthisdocument.Itallowsreaderstoexperimentwithourris

3、kmeasurementtechniques.•AllpublicationsanddailydatasetsareavailablefreeofchargeonJ.P.Morgan’sWebpageontheInternetathttp://www.jpmorgan.com/RiskManagement/RiskMetrics/RiskMetrics.html.ThispageisaccessibledirectlyorthroughthirdpartyservicessuchasCompuServeÒ,AmericaOnlineÔ,orPro

4、digyÒ.MorganGuarantyTrustCompanyThisTechnicalDocumentprovidesadetaileddescriptionofRiskMetricsÔ,asetoftechniquesanddataRiskManagementAdvisorytomeasuremarketrisksinportfoliosoffixedincomeinstruments,equities,foreignexchange,commod-JacquesLongerstaeyities,andtheirderivativesissu

5、edinover30countries.Thiseditionhasbeenexpandedsignificantlyfrom(1-212)648-4936thepreviousreleaseissuedinMay1995.riskmetrics@jpmorgan.comWemakethismethodologyandthecorrespondingRiskMetricsÔdatasetsavailableforthreereasons:ReutersLtdInternationalMarketing1.Weareinterestedinpromo

6、tinggreatertransparencyofmarketrisks.TransparencyisthekeytoMartinSpencereffectiveriskmanagement.(44-171)542-3260martin.spencer@reuters.com2.Ouraimhasbeentoestablishabenchmarkformarketriskmeasurement.Theabsenceofacommonpointofreferenceformarketrisksmakesitdifficulttocomparediff

7、erentapproachestoandmea-suresofmarketrisks.Risksarecomparableonlywhentheyaremeasuredwiththesameyardstick.3.Weintendtoprovideourclientswithsoundadvice,includingadviceonmanagingtheirmarketrisks.WedescribetheRiskMetricsÔmethodologyasanaidtoclientsinunderstandingandeval-uatingtha

8、tadvice.BothJ.P.MorganandReutersarecommittedtofurtherthedevelopmento