JP Morgan has formally launched Creditmetrics, its long-awaited credit risk measurement methodology. Creditmetrics uses value-at-risk methods similar to JP Morgan's Riskmetrics service, but applies them to credit risk rather than market risk.
The bank has also announced five banks that are endorsing the Creditmetrics methodology: Bank of America, BZW, Deutsche Morgan Grenfell, Swiss Bank and Union Bank of Switzerland.
KMV Corporation, a San Francisco-based credit risk analytics company, is als
The week on Risk.net, July 7-13, 2018Receive this by email