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- W2137298598 abstract "Value at risk has become such a widely used framework for thinking about market risk exposure that it is not surprising that people want to extend it to other types of risk. Credit VaR is one such extension. In the credit VaR framework, the “unexpected credit loss” refers to the difference between the expected value of the payoff on a credit portfolio and an extreme loss percentile, e.g., a loss that is estimated to have no more than 1.0% probability of occurring in the next year. But Kupiec argues that credit VaR is not at all comparable to normal VaR. Its properties are such that it cannot be considered an adequate measure of credit risk exposure at all, nor is it an appropriate tool for assessing capital adequacy." @default.
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- W2137298598 date "2002-02-28" @default.
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- W2137298598 title "What Exactly Does Credit VaR Measure?" @default.
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