Mr. Gupton's Biography

Greg M. Gupton has been a voice in the Credit Risk Modeling community since the 1997 Credit-Value-at-Risk "Big Bang" when three major CreditVaR methodologies sprang on the scene: CreditMetrics, CreditRisk+, and CreditPortfolioView.  For the past decade, his website, DefaultRisk.com, is a leading resource for quantitative credit risk modeling and management.

Mr. Gupton was with JP Morgan for 15 years and became a leading force in developing JP Morgan's internal credit risk methodologies. Outside of Morgan, he first became known for his authorship of CreditMetrics™. Mr. Gupton then joined Moody's Investors Service where he developed the first security-level LGD forecasting model, LossCalc™ and was active throughout Moody's acquisition of KMV: over 5 years. He then joined Fitch Ratings where co-authored Fitch's equity-based Default Probability model. And did industry leading work with a unique dataset of CDS dealer quotes, including: a CDS market implied rating model, and (forthcoming/unpublished) a CDS Liquidity model.

Mr. Gupton received a B.A. in Accounting from the University of Washington, and a M.S. in Industrial Administration from Carnegie-Mellon University. He began his career with JP Morgan in 1984 and joined Moody's Investors Service in 2000; Moody's acquired KMV in 2002.

Link to: Mr. Gupton's Resume

Link to: Mr. Gupton's "Home" page

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Last modified: July 18, 2009