Counterparty and Credit Risk
Credit Value at Risk (CVaR) as a Risk Model
A Risk Model is a 'Mapping' Mechanism
Default probabilities are 'mapped' to Unexpected Losses (UL)
Next steps
Here are some ideas of things you could try…
Calculate your Credit Value ar Risk (CVaR) with
Credit VaR Plus where you can try out different inputs and assumptions.
Read our paper on
Counterparty Risk under the IFPR Regime that shows how much money firms potentially leave on the table if they don't use a model.
Read a more technical paper on the methodology for the Credit Value at Risk Model its assumptions and sensitivities to main inputs.
The Basel Explanatory Note on IRB Model provides further details on the CVaR Model.
Visit Annual Credit Ratings from the S&P for probabilities of default and recovery by rating.