A gentle introduction to the RM 2006 methodology
نویسنده
چکیده
We present the basic concepts used in market risk evaluations, as well as the standard methodologies to compute quantitatively the risk. A new methodology is introduced with the goal to incorporate the state-of-the-art knowledge about financial time series. The performance evaluation of risk methodologies is explained, and the performance measures of the main risk methodologies are compared. The presentation stays at the conceptual level and uses the minimum number of formula needed for clarity. RiskMetrics Group One Chase Manhattan Plaza 44th Floor New York, NY 10005 www.riskmetrics.com
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