RiskMetrics Group

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RiskMetrics Group

• Presentation to the
• Securities and Exchange Commission
• May 14, 2003

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Case in point the hedge fund market
Investors Service Providers Managers
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Attacking the Hedge Fund Market
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Hedge Platform Process

1. RiskMetrics collects Hedge Fund positions
2. Investor/FoF requests reports
3. HF permissions reports, inputs net capital
4. Platform distributes reports

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HedgePlatform Reporting Tier Overview

• Tier 1 Market Value
• Long, Short, Net Gross
• Mark-to-model valuations, position counts,
  leverage
• Subtotaled by obvious categories
• Compliance reporting for IRS and SEC
• Tier 2 Exposures
• Dollar-based delta sensitivities
• Equity, Int Rates, Credit, Vol, Currency,
  Commodity
• Tier 3 Risk
• VaR and Stress Tests

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Tier 1
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