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.
"METHODOLOGY OF CREDITMETRICS FOR CREDIT RISK
International Finance and Accounting: Vol. 2018
, Article 7.
Available at: https://uzjournals.edu.uz/interfinance/vol2018/iss2/7