Return to RiskMetrics: The Evolution of a Standard

of such content or methodology. Such content and methodology are based on historical observations and should not be relied upon to predict future market movements. The information contained in this document is believed to be reliable, but RiskMetrics Group does not guarantee its completeness or accuracy. Opinions and estimates constitute our judgment and are subject to change without notice. Foreword This document is an update and restatement of the mathematical models in the 1996 RiskMetrics Technical Document, now known as RiskMetrics Classic. RiskMetrics Classic was the fourth edition, with the original document having been published in 1994. Since the initial publication, the model has become the standard in the field and is used extensively in practice, in academic studies, and as an educational tool. At the same time, the aim that risk models be transparent has become a guiding principle of the RiskMetrics Group, Inc. and has carried over to our subsequent models for credit, pension funds, and retail investors. However, there have been numerous modeling and technological advances, and the standard risk model has evolved significantly since 1996. While we at RiskMetrics have incorporated this evolution into our software offering and have regularly published updates to our methodology, it has been almost five years since we updated the formal statement of the model. Given our continued commitment to transparency, we have thus created this new document, Return to RiskMetrics: The Evolution of a Standard. We encourage our readers to provide feedback or submit questions by email at The authors would like to thank Christopher Finger and Allan Malz of RiskMetrics for their continuous support and invaluable comments. We would also like to thank Anne and Arnie Sternheim for editing this document.