为了存钱下载资料，象征性地收取3金吧，谢谢各位，不便之处请多见谅。

J.P.Morgen的CreditMetrics教材，英文介绍如下：（懂行的人应该知道这部内部文档的重要性）

J.P. Morgan
Co-sponsors:
Bank of America
Bank of Montreal
BZW
Deutsche Morgan Grenfell
KMV Corporation
Swiss Bank Corporation
Union Bank of Switzerland

 

CreditMetrics™– Technical Document
• A value-at-risk (VaR) framework applicable to all institutions worldwide that carry
credit risk in the course of their business.
• A full portfolio view addressing credit event correlations which can identify the costs of
over concentration and benefits of diversification in a mark-to-market framework.
• Results that drive: investment decisions, risk-mitigating actions, consistent risk-based
credit limits, and rational risk-based capital allocations.

 

This Technical Document describes CreditMetrics™, a framework for quantifying credit risk
in portfolios of traditional credit products (loans, commitments to lend, financial letters of
credit), fixed income instruments, and market-driven instruments subject to counterparty
default (swaps, forwards, etc.). This is the first edition of what we intend will be an ongoing
refinement of credit risk methodologies.
Just as we have done with RiskMetrics™, we are making our methodology and data
available for three reasons:
1. We are interested in promoting greater transparency of credit risk. Transparency is the
key to effective management.
2. Our aim is to establish a benchmark for credit risk measurement. The absence of a com
mon point of reference for credit risk makes it difficult to compare different approaches
to and measures of credit risk. Risks are comparable only when they are measured with
the same yardstick.
3. We intend to provide our clients with sound advice, including advice on managing their
credit risk. We describe the CreditMetrics™ methodology as an aid to clients in under
standing and evaluating that advice.
Both J.P. Morgan and our co-sponsors are committed to further the development of
CreditMetrics™ as a fully transparent set of risk measurement methods. This broad sponsorship
should be interpreted as a signal of our joint commitment to an open and evolving standard
for credit risk measurement. We invite the participation of all parties in this continuing
enterprise and look forward to receiving feedback to enhance CreditMetrics™ as a benchmark
for measuring credit risk.
CreditMetrics™ is based on, but differs significantly from, the risk measurement methodology
developed by J.P. Morgan for the measurement, management, and control of credit risk in
its trading, arbitrage, and investment account activities. We remind our readers that no
amount of sophisticated analytics will replace experience and professional judgment in
managing risks. CreditMetrics™ is nothing more than a high-quality tool for the professional
risk manager in the financial markets and is not a guarantee of specific results.
The benchmark for understanding credit risk
New York
April 2, 1997
CreditMetrics™ — Technical Document
CreditMetrics™—Technical Document
Copyright © 1997 J.P. Morgan & Co. Incorporated.
All rights reserved.
CreditMetrics
™
is a trademark of J.P. Morgan in the United States and in other countries. It is written
with the symbol
™
at its first occurance in the publication, and as CreditMetrics thereafter.