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In Rememberance: World Trade Center (WTC)

 Greg M. Gupton

3rd 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."

 

Contact:    Email address secured by Enkoder.
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External links for Greg M. Gupton and his worksOfficial Page "Personal" Page
SSRN MS.Academic WorldCat VIAF.org LinkedIn DBLP Amazon RePEc BIS arXiv NBER Wikipedia Google Scholar

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

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, QR,
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 Fitch Ratings,
Andrew Murray of Fitch Ratings,
Peter Patrino of Fitch Ratings, and
Greg Gupton of Fitch Ratings, QR
(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:

Encyclopedia of Quantitative Finance (4-Volume Set) Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages

Recovery Risk-The next challenge in credit risk management

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

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

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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