Described by Hull (2011, 2012) as ‘a procedure for calculating credit value at risk’, CreditMetrics methodology (RiskMetrics Group 2007) is used for assessing portfolio risk due to changes in bond or debt value caused by credit quality changes including credit migration (upgrades and...

Financial institutions are subject to many sources of risk, where risk often represents the degree of uncertainty about future net returns. Credit Risk can result in potential loss due to the inability of a counterparty to meet its obligations and is a function of the credit exposure, the...