Standalone
Clients – RiskMetrics Standard datasets
Clients – CreditMetrics datasets
Educational – RiskMetrics Standard datasets (lagged)
Educational – CreditMetrics datasets
Application Specific Data Sets
DataMetrics Education
Managed Services
Consulting &To illustrate the benchmark RiskMetrics methodology for VaR computation, RiskMetrics Group makes available standard RiskMetrics data sets . The data sets contain consistently calculated volatilities and correlation forecasts for use in estimating market risk. The asset classes covered are government bonds, money markets, swaps, foreign exchange and equity indices (where applicable) for 31 currencies, and commodities. Data sets are provided for a one day and one month horizon.
More information on the RiskMetrics methodology is available in the RiskMetrics Technical Document .
| This page last updated: | Thu Jul 24, 2008 at 22:27 (EDT) |
| Lagged Datasets for close-of-business: | Thu Jul 24, 2008 |
| Next Datasets due: | Fri Jul 25, 2008 at 23:05 (EDT) |
| Messages: | RiskMetrics datasets have now been issued. |
| | Dos/Win/Mac |
| Daily Files: | RMD.zip (Lagged) |
| Monthly Files: | RMM.zip (Lagged) |
| Regulatory Files: | RMB.zip (Lagged) |