RiskMetrics™ —Technical Document

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Preface to the fourth edition
RiskMetrics examples diskette
This diskette is located inside the back cover. It contains an Excel workbook that
includes some of the examples shown in this document. Such examples are identified by
the icon shown here.
Future plans
We expect to update this Technical Document annually as we adapt our market risk standards to
further improve the techniques and data to meet the changing needs of our clients.
RiskMetrics is a now an integral part of J.P. Morgan’s Risk Management Services group which
provides advisory services to a wide variety of the firm’s clients. We continue to welcome any suggestions
to enhance the methodology and adapt it further to the needs of the market. All suggestions,
requests and inquiries should be directed to the authors of this publication or to your local
RiskMetrics contacts listed on the back cover.
Acknowledgments
The authors would like to thank the numerous individuals who participated in the writing and editing
of this document, particularly Chris Finger and Chris Athaide from J.P. Morgan’s risk management
research group, and Elizabeth Frederick and John Matero from our risk advisory practice.
Finally, this document could not have been produced without the contributions of our consulting
editor, Tatiana Kolubayev. We apologize for any omissions to this list.
RiskMetrics —Technical Document
Fourth Edition