RiskMetrics risk assessment model
GPTKB entity
Statements (22)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
risk assessment model
|
| gptkbp:appliesTo |
portfolio risk measurement
|
| gptkbp:assumes |
correlation matrix
normal distribution of returns historical volatility linear portfolio |
| gptkbp:basisFor |
gptkb:RiskMetrics_Group
|
| gptkbp:developedBy |
gptkb:J.P._Morgan
|
| gptkbp:documentedIn |
gptkb:RiskMetrics_Technical_Document
|
| gptkbp:focusesOn |
market risk
|
| https://www.w3.org/2000/01/rdf-schema#label |
RiskMetrics risk assessment model
|
| gptkbp:influenced |
financial risk management industry
|
| gptkbp:introducedIn |
1994
|
| gptkbp:method |
gptkb:Value_at_Risk
|
| gptkbp:publishedBy |
gptkb:J.P._Morgan
|
| gptkbp:relatedTo |
gptkb:Basel_Accords
market risk capital requirements |
| gptkbp:usedBy |
banks
asset managers regulators |
| gptkbp:bfsParent |
gptkb:RiskMetrics_Group
|
| gptkbp:bfsLayer |
7
|