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International Finance and Accounting

Abstract

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.

References

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.

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