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market-value-based portfolio model (FS-BA-PM-CR)

Credit Risk (FS-BA-PM-CR)

Includes in portfolio distribution any defaults on the constituents of a portfolio, and any changes in value that arose due to changes in credit rating. In this regard, the default represents merely the most extreme worsening in credit rating.

A market-value-oriented portfolio model assumes that the net present value is used in the calculation of the exposure.

(NPV, market to market)

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