How to extend the RiskMetrics market risk universe

dc.contributor.author	Bjerksund, Petter
dc.contributor.author	Stensland, Gunnar
dc.date.accessioned	2006-07-13T10:32:12Z
dc.date.available	2006-07-13T10:32:12Z
dc.date.issued	2002
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163691
dc.description.abstract	RiskMetrics™ (RM) represents a framework for measuring market risk founded on the Value at Risk concept, and offer daily updated estimates of standard deviations and correlations of the assets within their market risk universe. Unfortunately, a company may also be exposed to other sources of market risk than the ones covered by RM. This paper shows how to extend the RM universe in a consistent way. The main challenge is to obtain the correlations between each pair of RM asset and additional asset. Simple rules apply for updating estimates of the extended universe for new daily information.	en
dc.format.extent	48614 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng	en
dc.publisher	Norwegian School of Economics and Business Administration. Department of Finance and Management Science	en
dc.relation.ispartofseries	Discussion paper	en
dc.relation.ispartofseries	2002:4	en
dc.title	How to extend the RiskMetrics market risk universe	en
dc.type	Working paper	en