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David Lee deposited Credit VaR Model in the group
Scholarly Communication on Humanities Commons 3 months, 2 weeks ago
Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor’s credit quality is determined by the obligor’s asset value, which in turn is approximated by its standardized equity return.