The RiskMetrics Model for Portfolio Evaluation

Author:Univ. Prof. PhD Bogdan DIMA, Univ. Lecturer PhD Ştefana CRISTEA

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Keywords:RiskMetrics, Value at Risk, portfolio

Abstract:
The present article focuses on the analysis of existing correlations among the financial assets included in the structure of a portfolio and their sensitivity in comparison with the global conditions of the trading environment, since these play an essential role in establishing the subsequent level of specific risks. A unitary approach is represented by the methodology RiskMetrics elaborated within the financial institution J.P.Morgan. The core objective of the proposed analysis is to highlight the multiple development possibilities of such a framework and its highly applicative nature. \r\n\r\n

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