Morgan Plans RiskMetrics Extension To Cover Credit Risk Management
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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 the
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