The RiskMetrics Journal highlights theoretical and applied research results for a variety of audiences, from academics to users of RiskMetrics Group products and methodologies.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
The RiskMetrics Journal is our annual journal of risk research.
February 1, 2008
- Volatility Forecasts and At-the-Money Implied Volatility
- Inflation Risk Across the Board
- Extensions of the Merger Arbitrage Risk Model
- Measuring the Quality of Hedge Fund Data
- Capturing Risks of Non-transparent Hedge Funds
February 1, 2007
- Portfolio Credit Spread Risk
- Backtesting Risk Methodologies from One Day to One Year
- Measuring Risk on Credit Indices: On the Use of the Basis
- Developing an Equity Factor Model for Risk
- Merger Arbitrage Risk Model
February 1, 2005
- Distribution of Defaults in a Credit Basket
- Risk Budgeting for Pension Plans
- Incorporating Equity Derivatives into the CreditGrades™ Model
- Adaptations of Monte Carlo Simulation Techniques to American Option Pricing
February 1, 2004
- Fixed Income Risk Attribution
- Issues int the Pricing of Synthetic CDOs
- Risk Management for Non-Financial Corporations
September 20, 2003
- Examples and Applications of Closed-Form CDO Pricing
- Liquidity Risk: Current Research and Practice
- Interest-Rate Expectations in Recent Months
February 1, 2003
- Specific risk for long-term horizons
- Risk attribution for asset managers
- Risk and expectations in the crude oil market in recent months
August 13, 2002
- Estimating issuer-specific risk for corporate bonds
- Estimation of zero-coupon curves in DataMetrics
- A primer on Vega risk measurement in RiskManager
- Market developments in the first half of 2002
February 7, 2002
- Mark-to-market, oversight, and sensitivity analysis of CDOs
- Importance sampling for credit portfolio simulation
- Economic capital allocation for credit risk
- Financial markets in the aftermath of the terrorist attacks
July 18, 2001
- The One-Factor CreditMetrics Model In The New Basel Capital Accord
- Term Structure Estimation for U.S. Corporate Bond Yields
- Risk Budgeting for Corporate Bond Portfolios
- Comparing Methods To Approximate Mortgage-Backed Security VaR
November 22, 2000
- Two articles in users' corner
- Calculating VaR through quadratic approximations
- Hypothesis test of default correlation and application to specific risk
- A comparison of stochastic default rate models
April 21, 2000
- Two articles in users' corner
- Toward a Better Estimation of Wrong-way Credit Exposure
- Do Implied Volatilities Provide EarlyWarning of Market Stress?
- A Stress Test to Incorporate Correlation Breakdown
April 1, 1999
- Three articles in CreditManager® users' corner
- Conditional approaches for CreditMetrics portfolio distributions
- The valuation of basket credit derivatives
- An analytic approach for credit risk analysis under correlated defaults
August 18, 1998
- Extended "Constant Correlations" in CreditManager 2.0
- Treating collateral and guarantees in CreditManager 2.0
- Credit derivatives in CreditMetrics
- Commercial paper defaults and rating transitions, 1972 - 1998
- A one-parameter representation of credit risk and transition matrices
April 10, 1998
- How the formation of the EMU will affect RiskMetrics
- Overview of EMU, resulting changes in the RiskMetrics methodology, and a tool to conduct stress testing on EMU-related scenarios
March 3, 1998
- Managing credit risk with CreditMetrics and credit derivatives
- The effect of systematic credit risk on loan portfolio value-at-risk and loan pricing
- Syndicated bank loan recovery
- Uses and abuses of bond default rates
- Errata to the first edition of CreditMetrics Technical Document
December 15, 1997
- A methodology to stress correlations
- What risk managers should know about mean reversion and jumps in prices
September 15, 1997
- An investigation into term structure estimation methods for RiskMetrics
- When is a portfolio of options normally distributed?
June 17, 1997
- A detailed analysis of a simple credit exposure calculator
- A general approach to calculating VaR without volatilities and correlations
March 14, 1997
- On measuring credit exposure
- The effect of EMU on risk management
- Streamlining the market risk measurement process
December 19, 1996
- Testing RiskMetrics volatility forecasts on emerging markets data
- When is non-normality a problem? The case of 15 time series from emerging markets
