RiskMetrics™ —Technical Document

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Table of contents
Part IV RiskMetrics Data Sets
Chapter 8. Data and related statistical issues 163
8.1 Constructing RiskMetrics rates and prices 165
8.2 Filling in missing data 170
8.3 The properties of correlation (covariance) matrices and VaR 176
8.4 Rebasing RiskMetrics volatilities and correlations 183
8.5 Nonsynchronous data collection 184
Chapter 9. Time series sources 197
9.1 Foreign exchange 199
9.2 Money market rates 199
9.3 Government bond zero rates 200
9.4 Swap rates 202
9.5 Equity indices 203
9.6 Commodities 205
Chapter 10. RiskMetrics volatility and correlation files 207
10.1 Availability 209
10.2 File names 209
10.3 Data series naming standards 209
10.4 Format of volatility files 211
10.5 Format of correlation files 212
10.6 Data series order 214
10.7 Underlying price/rate availability 214
Part V
Backtesting
Chapter 11. Performance assessment 217
11.1 Sample portfolio 219
11.2 Assessing the RiskMetrics model 220
11.3 Summary 223
Appendices
Appendix A. Tests of conditional normality 227
Appendix B. Relaxing the assumption of conditional normality 235
Appendix C. Methods for determining the optimal decay factor 243
Appendix D. Assessing the accuracy of the delta-gamma approach 247
Appendix E. Routines to simulate correlated normal random variables 253
Appendix F. BIS regulatory requirements 257
Appendix G. Using the RiskMetrics examples diskette 263
Appendix H. RiskMetrics on the Internet 267
Reference
Glossary of terms 271
Bibliography 275
RiskMetrics —Technical Document
Fourth Edition