With the increasing importance of financial fluctuations on firms' earning and balance sheets, JP Morgan is offering a system and data to help manage the resulting volatility. They forecast the market risk in more than 300 financial time series. Currently, this includes items in the bond markets, money markets, swaps, foreign exchange, and equity indices; in 1995, it will include commodities, spread products, and new markets. Their market risk forecast is based upon an exponential moving average of volatility to rapidly capture periods of increased volatility. Not only does it include volatility in a series, it also includes cross correlations of the all series. However, they stress even with this data, sophisticated judgement is still required to correctly access risks. To that end, this data can be integrated with a number of third party risk management products.
Each day, machine readable daily volatility and correlations are released, as are monthly figures.
To access the web version, one must use a graphical web browser.
http://www.jpmorgan.com/RiskMetrics/RiskMetrics.html
ftp://ftp.jpmorgan.com/pub/RiskMetrics
Bill Goffe <bgoffe@whale.st.usm.edu>