Fin Risk

BUFN722- Financial Institutions ch10 - 1
BUFN 722
ch-10
Market Risk
Overview
This chapter discusses the nature of market risk
and appropriate measures
Dollar exposure
RiskMetrics
Historic or back simulation
Monte Carlo simulation
Links between market risk and capital requirements
Market Risk:
Market risk is the uncertainty resulting from
changes in market prices . It can be
measured over periods as short as one day.
Usually measured in terms of dollar
exposure amount or as a relative amount
against some benchmark.
Market Risk Measurement
Important in terms of:
Management information
Setting limits
Resource allocation (risk/return tradeoff)
Performance evaluation
Regulation
Calculating Market Risk Exposure
Generally concerned with estimated
potential loss under adverse circumstances.
Three major approaches of measurement
JPM RiskMetrics (or variance/covariance
approach)
Historic or Back Simulation
Monte Carlo Simulation
JP Morgan RiskMetrics Model
Idea is to determine the daily earnings at risk =
dollar value of position price sensitivity
potential adverse move in yield or,
DEAR = Dollar market value of position Price
volatility.
Can be stated as (-MD) adverse daily yield
move where,
MD = D/(1+R)
Modified duration = MacAulay duration/(1+R)
Confidence Intervals
If we assume that changes in the yield are
normally distributed, we can construct
confidence intervals around the projected
DEAR. (Other distributions can be
accommodated but normal is generally
sufficient).
Assuming normality, 90% of the time the
disturbance will be within 1.65 standard
deviations of the mean.
Confidence Intervals: Example
Suppose that we are long in 7-year zero-coupon bonds
and we define bad yield changes such that there is
only 5% chance of the yield change being exceeded in
either direction. Assuming normality, 90% of the time
yield changes will be within 1.65 standard deviations
of the mean. If the standard deviation is 10 basis
points, this corresponds to 16.5 basis points. Concern is
that yields will rise. Probability of yield increases
greater than 16.5 basis points is 5%.
Price volatility = (-MD) (Potential
adverse change in yield)
= (-6.527) (0.00165) = -1.077%
DEAR = Market value of position (Price
volatility)
= ($1,000,000) (.01077) = $10,770

Note if MD = -6.527, what is R?
To calculate the potential loss for more than
one day:
Market value at risk (VAR) = DEAR \N
Example:
For a five-day period,
VAR = $10,770 \5 = $24,082.45
Foreign Exchange & Equities
In the case of Foreign Exchange, DEAR is
computed in the same fashion we employed
for interest rate risk.
For equities, if the portfolio is well
diversified then
DEAR = dollar value of position stock
market return volatility where the market
return volatility is taken as 1.65 o
M
.
Aggregating DEAR Estimates
Cannot simply sum up individual DEARs.
In order to aggregate the DEARs from individual
exposures we require the correlation matrix.
Three-asset case:
DEAR portfolio = [DEAR
a
2
+ DEAR
b
2
+ DEAR
c
2

+ 2
ab
DEAR
a
DEAR
b
+ 2
ac
DEAR
a

DEAR
c
+ 2
bc
DEAR
b
DEAR
c
]
1/2

Advantages:
Simplicity
Does not require normal distribution of returns
(which is a critical assumption for RiskMetrics)
Does not need correlations or standard
deviations of individual asset returns.
Basic idea: Revalue portfolio based on
actual prices (returns) on the assets that
existed yesterday, the day before, etc.
(usually previous 500 days).
Then calculate 5% worst-case (25
th
lowest
value of 500 days) outcomes.
Only 5% of the outcomes were lower.
Estimation of VAR: Example
Convert todays FX positions into dollar
equivalents at todays FX rates.
Measure sensitivity of each position
Calculate its delta.
Measure risk
Actual percentage changes in FX rates for each of past
500 days.
Rank days by risk from worst to best.
Weaknesses
Disadvantage: 500 observations is not very
many from statistical standpoint.
Increasing number of observations by going
back further in time is not desirable.
Could weight recent observations more
heavily and go further back.
Monte Carlo Simulation
To overcome problem of limited number of
observations, synthesize additional
observations.
Perhaps 10,000 real and synthetic observations.
Employ historic covariance matrix and
random number generator to synthesize
observations.
Objective is to replicate the distribution of
observed outcomes with synthetic data.

Regulatory Models
BIS (including Federal Reserve) approach:
Market risk may be calculated using standard BIS
model.
Specific risk charge.
General market risk charge.
Offsets.
Subject to regulatory permission, large banks may
be allowed to use their internal models as the basis
for determining capital requirements.
BIS Model
Specific risk charge:
Risk weights absolute dollar values of long
and short positions
General market risk charge:
reflect modified durations expected interest
rate shocks for each maturity
Vertical offsets:
Adjust for basis risk
Horizontal offsets within/between time zones
Large Banks: BIS versus RiskMetrics
In calculating DEAR, adverse change in rates defined
as 99th percentile (rather than 95th under
RiskMetrics)
Minimum holding period is 10 days (means that
RiskMetrics daily DEAR multiplied by \10.
Capital charge will be higher of:
Previous days VAR (or DEAR \10)
Average Daily VAR over previous 60 days times a
multiplication factor > 3.
Overview
The Corporate Treasurers Financial Risk
Management Problem- Manage Risk Not
avoid it
The Market Value of the Firm and Channels of Risk
Accounting Measures of Foreign Exchange
Exposure
Exposure of the Balance Sheet: Translation
Exposure
Exposure of the Income Statement: Transaction
Exposure
U.S. Accounting Conventions: Reporting
Accounting Gains and Losses
Overview
Economic Measures of Foreign Exchange
Exposure
The Regression Approach
The Scenario Approach
Empirical Evidence on Firm Profits, Share
Prices, and Exchange Rates
Arguments for Hedging Risks at the
Corporate Level
Overview
Financial Strategies Toward Risk Management
The Currency Profile and Suitable Financial
Hedging Instruments
Policy Issues - International Financial Managers
Problems in Estimating Economic Exposure
Picking an Appropriate Hedge Ratio
The International Investors Currency Risk
Management Problem
The Value at Risk Approach
Overview
Policy Issues - Public Policymakers
Disclosure of Financial Exposure
Financial Derivatives and Corporate Hedging
Policies
The Corporate Treasurers
Financial Risk Management Problem
Corporate treasurers are directly responsible
for managing the firms exposure to
financial risk.
The risks that remain are held by the
investor, who can reduce these risks through
a diversified portfolio of shares, or by
applying some of the same hedging
techniques available to the corporate
treasurer.
Types of Risk
Credit risk
Risk of default or failure of borrower or counterparty;
unwilling to service loan; e.g., 1998 Russia 90-day
moratorium on debt pay.
Market risk
Adverse changes in market prices, rates, exchange rates
Liquidity risk
Cash flows not sufficient to meet banks financial
commitments
Interest rate risk
Earnings & returns fluctuate with changes in interest rates
Operational risk
Potential losses due to breakdown in information,
communication, transaction processing, settlement systems,
fraud, unauthorized transactions by employees
Cross-border risk
Call risk - Instrument called before maturity
Legislative risk change in laws that affect securities
Credit Risk Management
Screening
Monitoring
Long-term customer relationships
Loan commitments
Collateral
Compensating balances
Credit rationing
Market Risk Management
The Value at Risk (VAR) Approach
The VAR approach is a relatively new approach for
measuring the exposure of financial assets.
It can be applied to any portfolio of assets (and
liabilities) whose market values are available on a
periodic basis and whose price volatilities (o) can
be estimated.
Assuming normal price distributions, calculate the
loss in value of the portfolio if an unlikely (say, 5%
chance) adverse price movement occurs. The result
of this calculation is the value at risk.
Value at Risk (VAR)
Value at Risk
Estimates the largest expected loss to a particular
investment position for a specified confidence
level
Applying Value At Risk
Deriving The Maximum Dollar Loss
VAR = estimated potential loss from its trading
business that could result from adverse
movements in market prices.
Common Adjustments To The Value-At-Risk
Applications
VAR
VAR is a risk measurement that estimates the largest expected loss to a
particular investment position for a specified confidence level. This method
became popular in the late 1990s after some mutual funds & pension funds
experienced abrupt large losses. VAR is intended to warn investors about
potential maximum loss that could occur. If investors are uncomfortable
with the potential loss that could occur in a day or week, they can revise
their investment portfolio to make it less risky.
VAR focuses on pessimistic portion of probability distribution of returns from
the investment of concern. E.g., a port. mgr. Uses a 90% confidence level,
which estimates the max. daily expected loss to an asset in 90% of the
trading days over an upcoming period. The higher the confidence level
desired, the larger the maximum expected loss that might occur for a given
type of investment. E.g., one may expect that the daily loss from holding a
particular asset wont be worse than -5% when using a 90% confidence level
& < -8% if a 99% confidence level.In essence the more confidence
investors have that the actual loss wont be > the expected maximum loss,
the further they move into the left tail of the probability distribution.
VAR is also used to measure risk of a portfolio. Some assets have high risk when assessed
individually, but low risk when part of a portfolio because the likelihood of a large loss
in the port. Is influenced by the probabilities of simultaneous losses in all of the
component assets for the period of concern.
Applying Value at Risk More precisely, VaR measures the worst possible loss that
a bank could expect to suffer over a given time interval,
under normal market conditions, at a given confidence
level. E.g., a bank might calculate that the daily VaR of its
trading portfolio is $35 million at a 99% confidence
interval. This means that there is only 1 chance in 100 that
a loss > $35 million would occur on any given day. Note:
this is NOT a maximum loss; e.g., if a bank regularly
measures VaR at the 99% confidence level, the actually
losses should exceeds its estimate 1% of the time, or 1 day
out of 100.
Methods of determining the maximum expected loss
Use of historical returns
Example: count the percentage of days an asset drops a certain
level
Use of standard deviation
Used to derive boundaries for a specific confidence level
Use of beta
Used in conjunction with a forecast of a maximum market drop
Applying Value at Risk
Deriving the maximum dollar loss
Apply the maximum percentage loss to the
value of the investment
Common adjustments to the value-at-risk
applications
Investment horizon desired
Length of historical period used
Time-varying risk
Restructuring the investment portfolio
Widespread usage of VaR
Easy to understand
1. BIS meeting at Basel in 1995, at which major
central banks amended the 1988 accord requiring
financial institutions to hold capital against their
exposure to market risk; this created an incentive
for banks to develop sophisticated internal risk
measurement systems to calculate VaR and thus
avoid more regulatory requirements. Therefore, in
1998, large banks with substantial trading
businesses began using their own internal measures
of market risk to adjust their capital requirements.
They use a VAR model, usually with a 99 percent
confidence interval
2. JP Morgan made its RiskMetrics system available
free from charge over the Internet; this system
provided financial data & methodology to calculate
a portfolios VaR. www.riskmetrics.com
Regulation of Capital
Testing the validity of a banks VAR
Uses backtests with actual daily trading gains or
losses
If the VAR is estimated properly, only 1 percent of
the actual trading days should show results worse
than the estimated VAR
Related stress tests
Bank identifies a possible extreme event to estimate
potential losses
Exact computation of VaR depends on
assumptions about:
Distribution of price changes, normal or otherwise
Extent to which todays change in the price of an
asset may be correlated to past price changes
Extent to which the characteristics of mean U and
standard deviation (volatility) are stable over time
Relationship between 2 or more different price
moves
Data series to which these assumptions apply.

Financial managers use historical market data on
various financial asses to create their VaR model.
JP Morgans VaR
Maximum estimated losses in the market
value of a given position that may be
incurred before the position is neutralized or
reassessed.
VaR
x
= V
x
x dV/dP x Ap
i
V
x
= market value of position x
dV/dP = sensitivity to price move per $
market value
Ap
i
= adverse price movement over time i;
e.g, if the time horizon is one day, then VaR
becomes daily earnings at risk
DEAR = V
x
x dV/dP x AP
day
JP Morgans assumptions in its measure of
VaR
Prices of financial instruments follow a
stable random walk; thus, price changes are
normally distributed
Price changes are serially uncorrelated;
there is no correlation between change
today and changes in the past
Standard deviation (volatility) of price or
rate changes is stable over time; i.e., past
movements may be used to characterize
future movements.
Interrelationships between 2 different price
movements follow a joint normal
distribution.
Drawbacks of VaR
Markets are NOT normal
Portfolios are non-linear
Volatility is NOT constant
Markets move together but no one knows
how
Portfolio Stress Testing
Technique that relies on computer modeling of different
scenarios and computation of results of those scenarios on a
banks portfolio.
E.g., Sept 11 bombing of WTC; political assassination
E.g., Mexican peso devalued by 30%.
All assets in portfolio are revalued using new environment,
creating a new estimate for the return on the portfolio
Many such scenarios lead to many such exercise, so that a range
of values for return on the portfolio is derived
By specifying the probability for each scenario, mangers can
then generate a distribution of portfolio returns, from which
VaR can be measured
The advantage of this method is that it allows risk managers to
evaluate possible scenarios that may be completely absent from
historical data.
Chase management devised an incentive package that reduced
compensation if risk taking did not lead to appropriate rewards,
helping it create a more conservative risk portfolio overall.
Flaws of stress testing
Subjective- difficult to brainstorm scenarios
that have never occurred
Choice of scenarios may be affected by
banks portfolio position, itself where
portfolio is invested
Poor handling of correlations stress testing
examines effect of a large movement on one
financial variable at a time, so it is not well
suited to large, complex portfolios such as
those held by international banks.
Stress testing is supplement to VaR, not a
replacement
BIS 2000 Study on Stress Testing
Financial institutions relied mostly on four
different techniques in stress testing (technique
and stress test result)
1. Simple sensitivity test
Change in portfolio value for 1 or more shocks to a single
risk factor
2. Scenario analysis
Change in portfolio value if scenario were to occur
(historical or hypothetical)
3. Maximum loss
Sum of individual trading units worst case scenarios
4. Extreme value theory
Probability distribution of extreme losses
Operational Risks
Most difficult to quantify
Rogue trader losses
Risk of computer or telephone outage
disrupting operations systems in critical
areas
Best safeguard is internal control.
Interest Rate Risk
GAP = RSA RSL
Repricing or funding gap
GAP: the difference between those assets whose interest
rates will be repriced or changed over some future period
(RSAs) and liabilities whose interest rates will be repriced or
changed over some future period (RSLs
Rate Sensitivity
the time to reprice an asset or liability
a measure of an FIs exposure to interest rate changes in
each maturity bucket
GAP can be computed for each of an FIs maturity buckets
Multiply GAP times change in interest rate reveals effect
on bank income
Alternative method: Duration gap analysis examines
sensitivity of market value of financial institutions net
worth to changes in interest rates; duration measures
average lifetime of securitys stream of payments
Calculating GAP for a Maturity Bucket
ANII
i
= (GAP)
j
Ai
j
= (RSA
j
- RSL
j
) Ai
j

where
ANII
j
= change in net interest income in the ith
maturity bucket
GAP
j
= dollar size of the gap between the book
value of rate-sensitive assets and rate-
sensitive liabilities in maturity bucket i
Ai
j
= change in the level of interest rates
impacting assets and liabilities in the
jth maturity bucket

Duration Model
Duration gap - a measure of overall interest rate
risk exposure for an FI

D = - %A in market value of a security
A i/(1 + i)

Disclosure of Financial Exposure
The possibility that individual firms may face
substantial exposure to exchange rate changes,
as well as the increased trading in financial
derivatives in recent years, create a genuine
concern among investors and regulators
regarding corporate exposure to financial risks.
Note that a firm without a financial position
may still face substantial currency and interest
rate risk due to its ongoing operations.
Financial Derivatives and Corporate Hedging
Policies
The findings of various studies were consistent
with the notion that firms used derivatives to
lower the variability of their cash flows or
earnings.
It was also found that the likelihood of using
derivatives was positively related to foreign
pretax income, foreign sales, and foreign-
denominated debt.
The Market Value of the Firm
The market value of a firm at time t (MV
t
) is
the summation of the firms cash flows
(CF) over time discounted back to their
present value by an appropriate discount
factor (i):
( )
=
+
=
T
t
t
t
t
t
i
CF
MV
0
1
Cash flows in each currency are discounted at
their own appropriate interest rate and
multiplied by a spot exchange rate.
The Market Value of the Firm
The sensitivity of the market value of the
firm to a change in an exchange rate
measures exchange rate exposure.
For the $/ exchange rate, the sensitivity
measure can be expressed as:
/ $
S
MV
c
c

Channels of Exposure to
Foreign Exchange Risk
Direct Economic
Exposure
Home Currency
Strengthens
Home Currency
Weakens
Sales Abroad Unfavorable Favorable
Revenue worth less
in home currency
terms
Revenue worth
more
Source Abroad Favorable Unfavorable
Inputs cheaper in
home currency
terms
Inputs more
expensive
Profits Abroad Unfavorable Favorable
Profits worth less Profits worth more
Channels of Exposure to
Foreign Exchange Risk
I ndirect Economic
Exposure
Home Currency
Strengthens
Home Currency
Weakens
Competitor that Unfavorable Favorable
sources abroad Competitors
margins improve
Competitors
margins decrease
Supplier that Favorable Unfavorable
sources abroad Suppliers margins
improve
Suppliers margins
decrease
Customer that Unfavorable Favorable
sells abroad Customers margins
decrease
Customers
margins improve
Customer that Favorable Unfavorable
sources abroad Customers margins
improve
Customers margins
decrease
The Market Value of the Firm and Channels of Risk
Note that virtually any firm could be exposed to
exchange rate risk through a financial channel.
In the long run however,
The firm can make changes in response to an
unexpected exchange rate change.
Other economic events that follow the exchange rate
change may lessen the impact on the firm.
Nevertheless, the short-run exposure is critical
since the firm must survive the shock to get to the
long run.
Accounting Measures of
Foreign Exchange Exposure
Net
=
exposed
exposed
exposure assets liabilities
Accounting exposure can be subdivided into
translation and transaction exposures.
Translation exposure focuses on the book
value of assets and liabilities as measured in
the firms balance sheet.
Transaction exposure focuses on the economic
value of transactions denominated in foreign
currency that are planned or forecast to occur
in the next reporting period.
U.S. Accounting Conventions
Reporting Accounting Gains and Losses
Under Statement 52 of the Financial Accounting
Standards Board (FASB-52), translation gains and
losses are accumulated in a translation adjustment
account.
FASB-52 focuses on a parents net investment in a
foreign operation to measure the effect of
exchange rate changes.
Transaction gains and losses represent realized
exchanges and are reported in current income.
Under FASB-133, derivatives that do not qualify
as hedges of the underlying exposures must be
marked-to-market, with the resulting gains or
losses included in either current or deferred
income.
Economic Measures of
Foreign Exchange Exposure
Economic exposure captures the entire
range of effects on the future cash flows of
the firm, including the effects of exchange
rate changes on customers, suppliers, and
competitors.
cMV/cS reflects economic exposure. Two
approaches for measuring economic
exposure are the regression approach and
the scenario approach.
The regression approach directly measures
the exposure of a firm to exchange rate
changes by estimating the relationship
between the firms market value at time t
(MV
t
)and the spot rate (S
t
) using the
equation:
MV
t
= a + b S
t
+ e
t

The coefficient b measures the sensitivity of
the market value of the firm to the exchange
rate.
To interpret the regression analysis, three results need
to be examined:
The magnitude of b.
b > 0 an asset exposure in the foreign currency
b < 0 a liability exposure
b = 0 no exposure to the exchange rate
The t-statistic of b.
Statistical significance is necessary for confidence in
the results.
The R
2
of the regression.
R
2
measures the percentage of variation in the market
value explained by the exchange rate.
To measure the firms exposure to multiple exchange
rates, a multiple regression can be estimated:
MV
t
= a + b
1
S
$/,t
+ b
2
S
$/,t
+ b
3
S
$/,t
+ e
t

If the firm has data on cash flows at the level of a
subsidiary or project, the exposure of these smaller
units can also be measured:
CF
t
= a + b S
t
+ e
t
Note that exposure tends to be lower in the long run
due to PPP (which tends to hold better in the longer
run) and the ability of firms to make adjustments in
response to exchange rate changes.

Given a scenario, we can estimate the firms
cash flows (and its market value)
conditional on an exchange rate path.
The scenario approach is well suited to a
spreadsheet analysis where one is
encouraged to ask a variety of what-if
questions.
A
O
A*
- 15% - 10% - 5% 15% 10% 5%
$/A$ $0.5435 $0.5682 $0.5952 $0.6250 $0.6563 $0.6875 $0.7188
A$/$ A$1.84 A$1.76 A$1.68 A$1.60 A$1.52 A$1.45 A$1.39
$39.577
$35.222
P
r
e
s
e
n
t

V
a
l
u
e

o
f

C
a
s
h

F
l
o
w
s

(
M
i
l
l
i
o
n
s
)

Consider the impact of a permanent 5% appreciation of the US$,
holding all other factors constant.
The slope measures the
exposure of the firm at
the initial exchange rate.
A
O
A*
- 15% - 10% - 5% 15% 10% 5%
$/A$ $0.5435 $0.5682 $0.5952 $0.6250 $0.6563 $0.6875 $0.7188
A$/$ A$1.84 A$1.76 A$1.68 A$1.60 A$1.52 A$1.45 A$1.39
$39.577
$35.222
P
r
e
s
e
n
t

V
a
l
u
e

o
f

C
a
s
h

F
l
o
w
s

(
M
i
l
l
i
o
n
s
)

Suppose the firm can pass along part of the exchange rate change
to its Australian customers.
B*
B
The slope of BOB* is flatter
than AOA* since the firm has
less exposure now.
Empirical Evidence on
Firm Profits, Share Prices, & Exchange Rates
During the Bretton Woods pegged-rate
period, the general stock market index
tended to move up (down) immediately
after a devaluation (revaluation) of the local
currency.
Studies also indicated that exposure
coefficients vary from firm to firm within
the same industry and over time, and that
exchange rate changes can have a
substantial impact on the overall economy.
ch10 - 63
Arguments for
Hedging Risks at the Corporate Level
Shareholders may not favor hedging since they can select
well-diversified portfolios to rid themselves of firm-
specific risks.
However, in view of transaction costs and taxes, hedging
that reduces the volatility of cash flows may be favored.
If the tax credits of a firm which has incurred losses over
several successive periods cannot be carried forward to
reduce future tax payments, then another firm with a less
volatile pattern of earnings will enjoy greater after-tax cash
flows and a higher market value.
A firm with more volatile cash flows is also more open to
the costs of financial distress.
For the same reasons, banks and bondholders will prefer
firms with less volatile cash flows (holding average cash
flows equal) and reward them with greater borrowing
capacities and higher credit ratings.
Financial Strategies
Toward Risk Management
An important step in the process of
determining the appropriate financial
hedging instruments for a firm is to analyze
the nature of the firms currency cash flows.

Note that a hedging strategy may offset
certain risks, while leaving open or
increasing other risks.

Characteristics of
Currency Exposure
Suitable Financial
Hedging I nstruments
Frequency
of cash flows
Single period
Multiple
periods
Single contract (futures/options)
Sets (strips) of contracts/swaps
or present value hedge
Currency
dimension
Single
currency
Multiple
currencies
Contracts on one currency

Contracts on an index (ECU,
US$) or synthetic hedge
Characteristics of
Currency Exposure
Suitable Financial
Hedging I nstruments
Certainty
about cash
flows
Certain,
contractual
cash flows
Uncertain,
estimated cash
flows
Nave hedge to match contract
size of financial instrument and
exposure
Option hedge or dynamic futures
hedge to match probability of
cash flows
Policy Issues
International Financial Managers
Problems in Estimating Economic Exposure
Using market data presumes that financial
markets are efficient, and that share prices
respond quickly and appropriately to exchange
rate changes.
The approach is unsuitable for newly organized
or reorganized firms for which there is not a
large sample of consistent observations.
For the exposure coefficient to be useful, the
relationship between exchange rate changes and
market value must remain stable in the future.
Policy Issues
Picking an Appropriate Hedge Ratio
If the exchange rate is expected to change favorably,
hedging may not be desirable.
Complete hedging may be achieved by taking offsetting
positions (-b
i
).
Otherwise, an intermediate solution may be chosen,
with hedge positions in between 0 and b
i
.
Note that the more direct approach is to restructure the
firms long-term financing, so as to permanently alter
the firms financial exposure.
Policy Issues
The International Investors Currency Risk
Management Problem
A portfolios exposure to foreign exchange risk
can be measured using the regression approach
in much the same way as the treasurer measures
the firms exposure.
The investor can hedge foreign exchange risk
using forward contracts, or retain the risk using
a risk-return decision criterion.
Pertinent Websites
For information on the BIS framework, visit:
Bank for International Settlements www.bis.org
Federal Reserve www.federalreserve.gov
Citigroup www.citigroup.com
J.P.Morgan/Chase www.jpmorganchase.com
Merrill Lynch www.merrilllynch.com
RiskMetrics www.riskmetrics.com

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