Within the past two years, important advances have been made in modeling credit211u001erisk at the portfolio level. Practitioners and policy makers have invested in 211u001eimplementing and exploring a variety of new models individually. Less progress 211u001ehas been made, however, with comparative analyses. The paper provides a 211u001ecomparative anatomy of two especially influential benchmarks for credit risk 211u001emodels, J.P. Morgan's CreditMetrics and Credit Suisse Financial Product's 211u001eCreditRisk+. We show that despite differences on the surface, the underlying 211u001emathematical structures are similar. The structural parallels provide intuition 211u001efor the relationship between the two models and allow us to describe quite 211u001eprecisely where the models differ in functional form, distributional assumptions, 211u001eand reliance on apectximation formulae. We then design simulation exercises which 211u001eevaluate the effect of each of these differences individually.
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