In this video from the FRM Part 2 curriculum, we take a look at the measure of Credit Value at Risk (Credit VaR). Credit VaR is the credit risk loss over a certain period that will not be exceeded at the chosen confidence level.
For more videos and preparation resources related to FRM Part 2 preparations, please head over to the course page below:
https://www.finRGB.com/courses/frm-part-2-online-course