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.
Abstract: On April 2, 1997, J.P. Morgan announced CreditMetrics, a practicable Value-at-Risk methodology for credit risk: CreditMetrics has found broad and immediate endorsement by other major money center banks, with five banks immediately announcing their co-sponsorship--Bank of America, BZW, Deutsche Morgan Grenfell, Swiss Bank Corporation and Union Bank of Switzerland. Others have since joined, including Standard & Poor's, Moody's and a number of leading financial consulting firms. Why is CreditMetrics gaining broad industry support and what can it do for lenders? This article gives a brief introduction to the methodology and how it can help manage credit risk.