CVAR
Definition
Cost Value at Risk
CVaR means Cost Value at Risk. Credit Value at Risk (CVaR) is a calculation which makes use of exposure inputs, ratings migration data, loss given default assumptions and industry correlations to determine how large that…
Credit Value at Risk (CVaR) is a calculation which makes use of exposure inputs, ratings migration data, loss given default assumptions and industry correlations to determine how large that tail risk of credit losses is likely to be for a given credit portfolio to a stated confidence level. (copied from GFRC presentation)
✓ Verified term