The RiskMetrics Group Releases New Risk Measures for Financial Markets.

NEW YORK--(BUSINESS WIRE)--Dec. 8, 1998--The RiskMetrics Group announced today the release of a new risk measure, the RiskMetrics Global Volatility Index (RMVI), designed to quantify the volatility of the world financial markets. The RMVI captures the daily movements of equity markets, bond yields, and foreign exchange rates in 28 countries as well as major commodity prices. With a level of 100 or "par" set to approximate the typical level of fluctuation experienced in these markets (as seen over the three year period from 1995-1997), today's level of 174 indicates that current markets are almost 75% more volatile than they have been on average in the past. While at an extreme level, the index is well off its high of 215 set in early November.

In addition to the RMVI, the RiskMetrics Group is also releasing the RiskMetrics Global Correlation Index (RMCI), measuring the level of correlation between these same markets. While today's level of 121 is still above the average (again defined as 100), it is significantly lower than the record 301 level set in July of this year.

"Interestingly, as the RMVI continues to remain at extremely high levels, the RMCI has come off sharply over the last four months," said Ethan Berman, Chief Executive Officer of the RiskMetrics Group. "This confirms the market sentiment that there has been a breakdown in correlations between many markets since the Russia crisis in August, driven by a "flight to quality" effect experienced throughout the world," he added.

Both the RMVI and the RMCI can be used by risk managers as valuable tools to assess the risks of financial markets at different points in time. The risk of a portfolio of financial instruments or exposures is far greater when the level of the RMVI is 200 than that same portfolio would be with the RMVI at 50. In addition the proper use and level of stress tests and scenario analysis will be different in a rising RMVI environment than in a falling one.

For more information on the RMVI and RMCI, including the constituents, the actual methodology and calculations, the histories, and the indices' many uses, please visit the RiskMetrics Group website at www.riskmetrics.com, or contact any RiskMetrics Group office. The RMVI and RMCI are updated daily, and will be made available through numerous information providers.

Spun off from J.P. Morgan earlier this fall, the RiskMetrics Group is the world's leading provider of risk research, data, software, and education.