NDLI: Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™

Content Provider	Springer Nature Link
Author	Phelan, Michael J.
Copyright Year	1997
Abstract	This work describes applications of probability and statistics in RiskMetrics™, J.P. Morgan's methodology for quantifying market risk. The methodology implements an analytical approach to financial risk in trading, arbitrage, and investment based on the statistics of market moves in equities, bonds, currencies and commodities. The public unveiling of RiskMetrics™ in October of 1994 attracted widespread interest among regulators, competing financial institutions, investment managers, and corporate treasurers, while the available technical documentation offers us a unique opportunity for informed statistical research on the theory and practice of financial risk management. For the purpose of identifying problems for further research, this discussion focuses on five applications of statistics in RiskMetrics™, which range from data analysis of daily returns and locally Gaussian processes to stochastic volatility models and Itô processes for the term structure of interest rates. Another important theme of this discussion, however, is devoted to attracting statisticians to the study of financial risk management and developing the foundations for collaborative work with financial economists and practicing risk managers. For this reason, this is also an expository document that touches several areas of active statistical research with applications to problems of risk management.
Starting Page	175
Ending Page	200
Page Count	26
File Format	PDF
ISSN	09208550
Journal	Journal of Financial Services Research
Volume Number	12
Issue Number	2-3
e-ISSN	15730735
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	1997-01-01
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Macroeconomics/Monetary Economics Finance /Banking
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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