JP Morgan won plaudits for altruism when it donated RiskMetrics, a market volatility matrix, to the financial world in 1994. RiskMetrics also proved a superb way of marketing the Morgan name. Now JPM is at it again with a release of CreditMetrics for global consumption.
As always Morgan has one eye on the regulators, and a hope that models to value credit risk will become as acceptable to them as market-risk models.
JP Morgan designed CreditMetrics to provide lenders with better information and a better system for navigating their way around their credit-risk exposure – and to promote a view of credit risk as the fluctuating uncertainty in the value of a portfolio of loan assets or of a single loan that can be attributed to changes in the credit quality.
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