Morgan is based on VaR, this model is used to estimate VaR of individual assets and portfolio assets on the base of MTM( market-to-market),VaR is the maximum value loss under certain confidence level.

• 摩根的CreditMetrics模型是基于VaR方法的信用风险管理系统，它在盯市(market-to-market)基础上估计个别资产或资产组合的信用风险VaR(即在一定置信水平下，信用资产组合可能遭受的最大损失量)。