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Greg M. Gupton3rd Most Popular Author in DefaultRisk.com
Federal Reserve Bank of New York
(Models & Methodologies)
33 Liberty St.
New York, NY
USA - Carnegie-Mellon University, MSIA (Finance -- 1985)
- Twenty years experience with thirteen years in financial risk management within both commercial banking and investment management contexts. Originator, designer and manager of CreditMetrics® - now the most widely deployed institutional credit risk portfolio tool. Co-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.
- "Working to make the world a less risky place -- one credit portfolio at a time."
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Publications: that are posted on DefaultRisk.com Credit Modeling CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997 Gupton, Greg M., " The New Talk of the Town: CreditMetrics™, A Credit Value-at-Risk Approach", Journal of Lending & Credit Risk Management , Vol. 79, No. 12, (August 1997), pp. 44-54. Recovery Rates Advancing Loss Given Default Prediction Models: How the quiet have quickened
by Greg M. Gupton of Moody's|KMV
(733K PDF) -- 46 pages -- July 2005 LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005 LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's Investors Service, and
Roger M. Stein of Moody's Investors Service
(1,189K PDF) -- 32 pages -- February 2002 A Matter of Perspective
by Greg M. Gupton of Moody's Investors Service, and
Roger M. Stein of Moody's Investors Service
(809K PDF) -- 4 pages -- November 2001 Bank Loan Loss Given Default
by Greg M. Gupton of Moody's Risk Management Services,
Daniel Gates of Moody's Investors Service, and
Lea V. Carty of Risk Management Services, Moody's Investors Service
(179K PDF) -- 24 pages -- November 2000 Credit Scoring Fitch Equity Implied Rating and Probability of Default Model
by Bo Liu of FitchSolutions, QR,
Ahmet E. Kocagil of FitchSolutions, QR, and
Greg M. Gupton of FitchSolutions, QR
(904K PDF) -- 25 pages -- June 13, 2007 Other Credit Cash Flow Volatility in the Power and Gas Sector
Sharon Bonelli of Fitch Ratings,
Ellen Lapson of Fitch Ratings, and
Greg Gupton of Fitch Ratings, QR
(66K PDF) -- 6 pages -- August 22, 2007 Fitch CDS Implied Ratings (CDS-IR) Model
by Alexander Reyngold of FitchSolutions, QR,
Ahmet E. Kocagil of FitchSolutions, QR, and
Greg M. Gupton of FitchSolutions, QR
(564K PDF) -- 14 pages -- June 13, 2007
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MS.Academic