RiskMetrics

Description     Issues or Changes     Access & Installation     Documentation

Description

RiskMetrics is available through WRDS. For more information on WRDS account and accessibility information, please click here

RiskMetrics is a leader in corporate governance data. Initially the data provider for WRDS was IRRC which was acquired by ISS in 2005, but it did not affect the data. However, in 2007 RiskMetrics acquired ISS and changed the methodology to collect the data. Thus as of 2007, WRDS maintains the old IRRC-methodology data (Legacy data) separate from the new version. We subscribe to two datasets Historical Governance and Historical Directors data. The Directors data includes a range of variables related to individual board directors. It began in 1996 and is updated annually. S&P 1500 companies comprise the current universe. 

For detailed data information, go to RiskMetrics website. 

 

Data Year 

  • Directors(new Data) : 2007-2008
  • Directors(Legacy) : 1996-2006
  • Governance(new Data): 2007-2008
  • Governance(Legacy) : 1990-2006

Update Schedule

  • Data is updated annually

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Issues or Changes

There has been significant change in RistMetric's Governance data for the year 2007. Before 2007, RiskMetric used IRRC methodology for data collection which ceased after 2006. In 2007, they started pulling the data from RMG/ISS collection system, which includes and initial review of every company's bylaws and charter. 

This new change from 2007 has made a significant impact on the data. Hence the time series of variables are not necessarily comparable to the previous data years. Thus in WRDS, both datasets are kept separate. Data upto 2006 is kept in the file referred as Legacy data and data from 2007 and beyond is referred as rmgovernance and rmdirectors databses.

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Access & Installation 

RiskMetrics is available only through WRDS. For more information on WRDS account and accessibility information, please click here.

 

WRDS datasets can be accessed directly through SAS programs. Access to sample programs is available with WRDS account. Directory information for some of the RiskMetrics datasets is given below. The complete list is available on WRDS. 

/wrds/riskmetrics/sasdata

  • directors - RiskMetrics - Directors Legacy Data (1996-2006)
  • dirnames
  • gset - RiskMetrics - Governance Legacy Data (1990-2006)
  • rmdirectors - RiskMetrics (ISS) - Directors Data
  • rmgovernance - RiskMetrics (ISS) - Governance Data

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Documentation

  • Documentation about changes in Risk Metrics data and Legacy databases is available on WRDS.

 

(Last update 06/10/2010)     (back to top)