Credit Value-at-Risk (VaR) | FRM Part 2 | Credit Risk

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:
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[@haythemtilouch1191]

Great video as usual ! Thank you so much for clarifying this concept.

[@sujoyghosh2420]

Sir an example would be really helpful to grasp the concept better..

[@finRGB]

The aim was to present the concept in its most general sense (without resorting to any approach or technique to calculate Credit VaR). Will surely add a solved example in a video on CreditMetrics / Vasicek models.