Open Source Credit Risk

This site has some ridiculously arcane sounding stuff on CD*’s. It seems like it is promoting open-source collaboration on what is obviously an important topic in risk management generally, but also for the future stability of the financial markets.

This site description is what got me…cool…now if only he would have developed this a few years ago! the web’s biggest credit risk modeling resource

This is not a vendor site. It is just my own. I have been excited by credit risk methodologies throughout my career (I work at Fitch Ratings with a crack quant team). Although I am the principal author of CreditMetrics® and LossCalc™ (and have a natural affinity for them), I am more of an advocate for the continued study of credit risk modeling. Wonderfully, there are over fourteen hundred researchers featured on this site (see full list)!

“I’m trying to make the world a less risky place;
one credit portfolio at a time!”

– Greg M. Gupton

What I want is to advance the state-of-the-art of credit risk management … through YOU. I hope to give you all the tools to understand the strengths and limits of credit value-at-risk models so you can take the best and … I trust … create better ones. This site has been under continual development since 2000 and will continue to grow. I’m trying to satisfy two audiences:

Practitioners have a no-nonsense need to address risk in a timely fashion. Institutions hire research people to develop internally (and adapt from external sources) risk measurement and pricing systems to address tangible needs.

Academics have the more strategic, but no less difficult, need to efficiently access the many disparate sources of prior research and to gain insight into current practitioner practice & demand.

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