|market-value-based portfolio model (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)