International Finance and Accounting


In the article CreditMetrics methodology used to assess credit risk according to the official technical document developed by J.P.Morgan is considered. According to this methodology for calculating the credit risk a road map, as well as an example of a step-by-step mechanism for calculating the credit risk of one asset is provided.


1. Gupton G.M. CreditMetrics – Technical Document/G.M. Gupton, C.C. Finger, M.Bhatia. JPMorgan, 1997. 2. CreditMetrics™ – Technical Document Copyright © 2007 RiskMetrics Group, Inc. All rights reserved. First published in 1997 by J.P. Morgan & Co. 3. In statistics and the theory of probability, quantiles are cut points dividing the range of a probability distribution into contiguous intervals with equal probabilities. https://en.wikipedia.org/wiki/Quantile 4. Krichevskiy M.L. Finansovыe riski: uchebnoye posobiye / M.L.Krichevskiy. – 2-ye izd., M. : KNORUS, 2013. – 248 s. 5. Ph.Jorion Financial Risk Management Handbook/ N.Y.: John Wiley&Sons, 2003. 6. Ensiklopediya finansovogo risk-menedjmenta / pod red. A.A.Lobanova, A. V.Chugunova; M.: Alpina Pablisherz, 2009.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.