Morgan Plans RiskMetrics Extension To Cover Credit Risk Management


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 (FXW, October 17).

RiskMetrics incorporates a description of Morgan's methods for estimating daily and monthly "value at risk"--how much can be lost during a particular period--using estimated volatilities based on historical data and correlations of rates and prices to forecast

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