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 the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact customer services -, or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to FX Markets? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a FX Markets account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: