1996 RiskMetrics Technical Document
Research Paper
January 9, 1997
Preview
A much-cited classic in the field of risk management.
This Technical Document provides a detailed description
of RiskMetrics, a set of techniques and data to measure market
risks in portfolios of fixed income instruments, equities, foreign
exchange, commodities, and their derivatives issued in over 30
countries. This edition has been expanded significantly from the
previous release issued in May 1995.
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