JP Morgan Plans Credit Version Of Riskmetrics


JP Morgan is poised to extend its pioneering Riskmetrics VAR methodology to cover credit risk management, according to industry sources. Until now, the two-year old Riskmetrics service has only applied to market risk.

Sources say JP Morgan's risk analysts are now putting the final touches to a so-called portfolio credit management system based on Riskmetrics. The new service is expected to be launched by January of next year, these sources add.

The investment bank is looking to distribute the

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