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Greg M. Gupton7th Most Popular Author in DefaultRisk.com
Managing Director
FitchRatings -- Quantitative Financial Research
One State Street Plaza
New York, NY 10004
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."
| Contact: | | Email address secured by Enkoder. | | e-mail |
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Publications: that are posted on DefaultRisk.com & MoodysRMS.comCredit 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. [Abstract] 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 Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(489K PDF) -- 19 pages -- June 13, 2007 Other Cash Flow Volatility in the Power and Gas Sector
Sharon Bonelli of FitchRatings,
Ellen Lapson of FitchRatings, and
Greg Gupton of Fitch Ratings, QFR
(66K PDF) -- 6 pages -- August 22, 2007 Fitch CDS Implied Ratings (CDS-IR) Model
by Alexander Reyngold of Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(239K PDF) -- 12 pages -- June 13, 2007 How Much Credit in Credit Risk Models?
by Gary van Vuuren of Fitch Ratings,
Krishnan Ramadurai of Fitch Ratings,
Greg M. Gupton of Fitch Ratings, QFR,
Eileen Fahey of Fitch Ratings,
Ian Linnell of Fitch Ratings,
David Marshall of Fitch Ratings,
Kim Olson of Algorithmics, Inc., and
Diane Reynolds of Algorithmics, Inc.
(218K PDF) -- 15 pages -- May 8, 2007 It's just for fun, but I wrote a brief article for Financial Engineering News.
Greg M. Gupton Fitch Ratings
1 page -- November 2006 Exposure Draft: Prism--Insurance Rating Calibration Measures, Tail-VaR and VaR
Jeff Mohrenweiser of FitchRatings,
Andrew Murray of FitchRatings,
Peter Patrino of FitchRatings, and
Greg Gupton of Fitch Ratings, QFR
(278K PDF) -- 12 pages -- July 17, 2006 Default and Recovery Rates of Corporate Bond Issuers: 2000
by David T. Hamilton of Moody's Investors Service,
Greg M. Gupton of Moody's Investors Service, and
Alexandra Berthault of Moody's Investors Service
(1,383K PDF) -- 60 pages -- February, 2001 Book Chapters In:
| Recovery Risk: The next challenge in credit risk management
by Edward Altman; Andrea Resti; Andrea Sironi (editors),
Risk Books, June 2005, Hardcover, 364 pages | 
| Credit Derivatives: The Definitive Guide
by Jon Gregory (editor)
Risk Books in association with Application Networks, September 25, 2003, Hardcover, 495 pages | 
| Credit Derivatives & Credit Linked Notes: Trading & Management of Credit & Default Risk
by Satyajit Das (Editor)
John Wiley & Sons, 2nd edition, November 2000, Hardcover, 800 pages |
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