Credit VaR Calculator

Estimate Credit Value-at-Risk for a bond portfolio using default probability, loss given default, and asset correlation. Credit VaR measures unexpected credit losses at a specified confidence level (99% or 99.9%) over a one-year horizon.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Estimate Credit Value-at-Risk for a bond portfolio using default probability, loss given default, and asset correlation. Credit VaR measures unexpected credit losses at a specified confidence level (99% or 99.9%) over a one-year horizon

Each component has a specific meaning:

  • Default probability — The default probability recorded for the scenario being assessed.
  • Loss given default — The loss given default recorded for the scenario being assessed.
  • Asset correlation — The asset correlation recorded for the scenario being assessed.

Note: Interpret the credit var result against the thresholds and context described above.

How to Use

Enter the default probability, loss given default, asset correlation for the scenario you are assessing. Estimate Credit Value-at-Risk for a bond portfolio using default probability, loss given default, and asset correlation. Credit VaR measures unexpected credit losses at a specified confidence level (99% or 99.9%) over a one-year horizon. Use the credit var result to inform your calculation.

Frequently Asked Questions