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Link to: Mr. Gupton's Biography

Credit Risk Management

Nineteen years experience in financial risk management within commercial banking, investment management, and rating agency contexts. Originator, designer and manager of CreditMetrics® – now the most widely deployed institutional credit risk portfolio tool worldwide. Lead-designer and author of LossCalc™ – the first statistical predictive model of Loss Given Default (LGD). Broad knowledge of value-at-risk, correlations, simulation, risk policy, and credit derivatives.

Experience

Fitch Ratings  2006-Present

Managing Director, Quantitative Research

• LGD research plus modeling for Corporates and Insurance groups.

Moody's Corporation  2000 - 2005

Post-merger: Moody's KMV (2003-2005)
Sr. Director of Research

• Extended researched on LossCalc™.  Included powerful predictive factors that exploited a "structural view" of credit (i.e., the Distance-to-Default technology from KMV). I Extended it internationally and incorporated collateral support. Model sales rose more that 500%. My LossCalc model was integrated into our portfolio Credit-VaR tool called, Portfolio Manager™, and work was underway to integrate it with Credit Monitor™ and BaselCalc™.

• Worked on Validation/Calibration engagements with our consulting team. Directed commercial banks in databasing their historical LGD experience for Basel regulator purposes. Developed custom LGD models (for both large corporate obligors and small and medium enterprises) using clients' own recovery data.

• Miscellaneous projects: correlation of LGD with Expected Default Frequencies (EDF™), better estimating asset volatility, extending our "20% Cap" on EDF, extending EDF projections for sovereign entities, etc.

Pre-merger: Moody's Risk Management Services (2000-2002)
Vice-president / Senior Analyst

• Created multivariate statistical model with both panel and time-series factors to forecast Loss Given Default (i.e., the compliment of the recovery rate on defaulted debt). This was the markets first published research that explained how recoveries vary over time. We marketed my model as LossCalc™, which was the first model on the market to forecast recoveries.

   

• Research support for corporate obligations: loans, bonds, preferred stock. Coauthored bankruptcy studies.

• Research support for Syndicated Loan Ratings; published loan recovery study.

Independent Consultant  2000

• Consulted for FirstRand Banking Group (South Africa) regarding the reengineering of their credit business to have a systematic, validated, quantitative and rigorous approach to their policies, procedures, standards, methodologies, management information and systems relating to their consumer, corporate, auto and mortgage credit.

J.P. Morgan & Co. 1985 - 1999

VP, Credit Risk Principal (1998 – 1999)
Investment Management Advisory

• Consulted for an investment management institution to detail best practices for risk management, risk-return maximization and systems implementation. The client was a major JPMIM client and the largest investing institution in their region.

• Tailored procedures, methodologies, vendor offerings and systems implementation to the objectives, timeframe and structure of the client. Specific areas include counterparty exposure estimation, limits, value-at-risk, tracking error versus alpha, credit scoring, stress testing, scenario analysis, etc.

• JPMIM was awarded $2B additional assets-under-management and earned $4M in direct fees for this engagement.

VP, CreditMetrics® Product Manager (1996 – 1998)
Risk Management Services

(See: CreditMetrics press release)

• Championed and managed the CreditMetrics product from concept to fruition as a value-at-risk approach to measuring and managing portfolio credit risk. Managed six people.

• Authored 200 page CreditMetrics Technical Document. Principal creator and researcher of the methodology.

• Presented and conducted workshops at many risk management and technology conferences including DerivCon, RIMAC and ISDA.

• Worked with over 100 clients, several central banks and 24 cosponsoring institutions.  Presented and taught at many risk management conferences.

• Revenues for CreditMetrics/CreditManager™ exceeded $2.5M in its first year. CreditMetrics is now the world's most widely applied credit risk management framework.

VP, Credit Risk Methodologies (1992 – 1996)
Corporate Risk Management Group

• Developed statistical risk models for exposure and credit risk across all of Morgan including lending, settlement, derivatives, counterparty exposure and credit derivatives. Tools applied include factor analysis, Monte Carlo, statistical probability, binary trees, option models, yield curve analysis, etc. Developed credit derivative structures and pricing. Managed interns.

• Became Morgan's principal credit risk modeling expert with input to all credit engines.

AVP, Capital Raising & Product Development (1990 – 1992)

• Issued long term funding for Morgan's Tier II capital position. Evaluated significant and innovative market issuances and negotiated with external dealers to replicate low cost funding transactions. Prepared reports for Morgan's Capital Committee.

Financial Division -- Various Assignments (1985 – 1990)

• Performed unit cost studies, programmed lease versus buy analysis, estimated business-line risk versus return, modeled default expectations and credit provisioning.

Education

Carnegie-Mellon University           1985
Master of Science Industrial Administration

• Finance Concentration: emphasis on analytical tools including portfolio optimization, financial analysis, statistics, econometrics and operations management.

University of Washington           1983
Bachelor of Arts Business Administration

• Accounting Concentration

Publications

• "Advancing Loss Given Default Prediction Models: How the quiet have quickened", Economic Notes, Vol. 34, No. 2, (July 2005), pp. 185-230.
• Book chapter: "Estimating Recovery Risk by Means of a Quantitative Model: LossCalc", published June-2005 in Recovery Risk: The next challenge in credit risk management editors: Edward Altman, et.al., Risk Books.
• LossCalc v2: Dynamic Prediction of LGD, Moody's KMV, (January 2005)
• Book chapter: "Portfolio Credit Risk Models", published September-2003 in Credit Derivatives: The Definitive Guide, editor: Jon Gregory, Risk Books.
• LossCalc™: Moody's Model for Predicting Loss Given Default (LGD), Moody's Investors Service Special Comment, (February 2002)
• "A Matter of Perspective", Credit, (November 2001), Vol. 2, No. 9.
• Default and Recovery Rates of Corporate Bond Issuers: 2000, Moody's Investors Service Special Comment, (February 2001)
• Bank Loan Loss Given Default, Moody's Investors Service Special Comment, (November 2000)
• Book Chapter: "CreditMetrics®: Advances in Credit Risk Management", published November-2000 in Credit Derivatives: Trading & Management of Credit & Default Risk, 2nd edition, editor: Satyajit Das, John Wiley & Sons.
• "CreditMetrics™: Assessing the Marginal Risk of Credit", Credit Derivatives: Trading & Management of Credit & Default Risk, Satyajit Das (Editor), John Wiley & Sons, (1998), pp. 271-298
• "The New Talk of the Town: CreditMetrics™", Journal of Lending & Credit Risk Management, (August 1997), Vol. 79, No. 12, pp. 44-54
• CreditMetrics™ -- Technical Document, J.P. Morgan, (April 1997), 200 pages.
• "Genetic Learning Algorithm: Applied to the Game of Othello", Heuristic Programming in Artificial Intelligence, Market Cross House, (1989), pp. 241-254

Speaking Engagements

• Recent Advancements in the Theory and Practice of Credit Derivatives, (Nice, France), 28-30 September 2009.
• Quantitative Financial Conference on Credit Risk (London, Ontario), 5 November 2005
• Applied Probability Conference (Ottawa, Canada), 7 July 2005
• Dependent Modelling for Credit Portfolios (Venice, Italy), 27 September 2004.
• Measures of Debt Security Loss Given Default (Toronto, Ontario); 30 October, 2002 (The Fields Institute) -- see my presentation
• New Frontiers in Credit Risk (New York, NY); 14 August, 2002 (PRMIA) -- see my presentation
• Advances in Modeling Loss Given Default (Atlanta, GA): 6 September 2001, (Federal Reserve)
• Estimating Loss Given Default: Practical Issues -- Invited Speaker (Antwerp, Belgium): 16 May 2001, (University of Antwerpen)
• Credit Risk in Emerging Markets (New York, NY): 9-10 December 1997, (RISK)
• Value-at-Risk (New York, NY): 7 November 1997, (RISK)
• DERIVCON97 (Palm Beach, FL): 21-22 October 1997, (WBR)
• I.T. '97, Trading and Risk Management (New York, NY): 22-24 September 1997, (RISK)
• ISDA Luncheon Series (New York, NY): 10 September 1997, (ISDA)
• Advanced Swaps (New York, NY): 27 August 1997, (Euromoney Training)
• Roundtable on Financial Risk Management (Ixtapa, Mexico): 22-23 May 1997, (KPMG)
• Advanced Swaps (New York, NY): 9 May 1997, (Euromoney Training)
• RIMAC97 – Risk Management and Control (Scottsdale, AZ): 11-14 February 1997, (WBR)

Other

• Editorial Board of the Journal of Credit Risk.
• Editorial Board of the Journal of Derivatives Accounting.
• Webmaster of DefaultRisk.com

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Last modified: July 18, 2009