CREDIT Conference

Greg M. Gupton is a Vice President and Senior Analyst at Moody's|KMV, a wholly owned subsidiary of Moody's Investors Service. He is focused on advancing the state of the art in Loss Given Default (Recovery Rate) Estimation. His website, DefaultRisk.com, is a leading resource for quantitative credit risk modelling and management. His papers since joining Moody's include: Bank Loan Loss Given Default, Default and Recovery Rates of Corporate Bond Issuers: 2000, and LossCalc™: Moody's Model for Predicting Loss Given Default (LGD). He is currently the 3rd most popular author on DefaultRisk.com. Formerly, Mr Gupton was a leading force in building JP Morgan's internal credit risk methodologies. Outside of Morgan, he is probably best known for his authorship of CreditMetrics. Inside Morgan Mr. Gupton has also developed pricing and risk models for a variety of securities including credit derivatives, designed risk management policy, and consulted on credit risk best practices for external clients. Mr. Gupton is widely published on the topic of credit risk measurement and management. His CreditMetrics methodology (and its implementation, CreditManager) is the most widely applied credit value-at-risk tool world-wide. The growth of this product line was so rapid that Morgan took the decision to setup, The RiskMetrics Group, as a (1/3 owned) spin-off in 1998. Mr. Gupton received a B.A. in Accounting from the University of Washington, and a M.S. in Industrial Administration from Carnegie-Mellon University.