Credit Value at Risk Calculator

✖The Worst Credit Loss refers to the maximum potential loss that a lender or creditor could incur from a default or non-payment by a borrower or debtor.ⓘ Worst Credit Loss [WCL]			+10% -10%
✖Expected Credit Loss (ECL) refers to the estimated average amount of credit losses that a lender or financial institution expects to incur over a specific period of time.ⓘ Expected Credit Loss [ECL]			+10% -10%

✖Credit Value at Risk is the possibility of financial losses for a lender or investment due to a borrower’s or debtor’s inability to meet their debt commitments.ⓘ Credit Value at Risk [CR_v]

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Formula

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Credit Value at Risk

Formula

`"CR"_{"v"} = "WCL"-"ECL"`

Example

`"12500"="33000"-"20500"`

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Credit Value at Risk Solution

STEP 0: Pre-Calculation Summary

Formula Used

Credit Value at Risk = Worst Credit Loss-Expected Credit Loss
CR_v = WCL-ECL
This formula uses 3 Variables

Variables Used

Credit Value at Risk - Credit Value at Risk is the possibility of financial losses for a lender or investment due to a borrower’s or debtor’s inability to meet their debt commitments.
Worst Credit Loss - The Worst Credit Loss refers to the maximum potential loss that a lender or creditor could incur from a default or non-payment by a borrower or debtor.
Expected Credit Loss - Expected Credit Loss (ECL) refers to the estimated average amount of credit losses that a lender or financial institution expects to incur over a specific period of time.

STEP 1: Convert Input(s) to Base Unit

Worst Credit Loss: 33000 --> No Conversion Required
Expected Credit Loss: 20500 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

CR_v = WCL-ECL --> 33000-20500

Evaluating ... ...

CR_v = 12500

STEP 3: Convert Result to Output's Unit

12500 --> No Conversion Required

FINAL ANSWER

12500 <-- Credit Value at Risk

(Calculation completed in 00.004 seconds)

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< 20 Risk Management Calculators

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Go Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside

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Modigliani-Modigliani Measure

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Interest Rate Risk

Go Interest Rate Risk = (Original Price-New Price)/New Price

Sterling Ratio

Go Sterling Ratio = (Compound Annual Growth Rate/(Average Maximum Drawdown-10))*-1

Risk Tolerance

Go Risk Tolerance = (Public Equity Exposure*0.35)/Monthly Gross Income

Market Risk Premium

Go Market Risk Premium = Expected Equity Market Rate-Risk Free Rate

Basis Risk

Go Basis Risk = Future Price of Contract-Spot Price of Hedged Asset

Credit Value at Risk

Go Credit Value at Risk = Worst Credit Loss-Expected Credit Loss

Economic Capital

Go Economic Capital = Earnings at Risk/Required Rate of Return

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Go Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1

Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

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Pain Ratio

Go Pain Ratio = Effective Return/Pain Index

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Risk Determination

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Loss Given Default

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Credit Value at Risk Formula

Credit Value at Risk = Worst Credit Loss-Expected Credit Loss
CR_v = WCL-ECL

What is Credit Risk?

Credit risk is the possibility of financial losses for a lender or investment due to a borrower’s or debtor’s inability to meet their debt commitments. A borrower may miss payments on a loan or other debt, which could result in a loss of principal or interest. The borrower’s creditworthiness, ability to repay the debt, and the chance of default or payment delay are considered to measure credit risk. Lenders and investors manage credit risk by establishing risk guidelines, diversifying portfolios, and employing risk mitigation techniques.

How to Calculate Credit Value at Risk?

Credit Value at Risk calculator uses Credit Value at Risk = Worst Credit Loss-Expected Credit Loss to calculate the Credit Value at Risk, Credit Value at Risk is the possibility of financial losses for a lender or investment due to a borrower’s or debtor’s inability to meet their debt commitments. Credit Value at Risk is denoted by CR_v symbol.

How to calculate Credit Value at Risk using this online calculator? To use this online calculator for Credit Value at Risk, enter Worst Credit Loss (WCL) & Expected Credit Loss (ECL) and hit the calculate button. Here is how the Credit Value at Risk calculation can be explained with given input values -> 12500 = 33000-20500.

FAQ

What is Credit Value at Risk?

Credit Value at Risk is the possibility of financial losses for a lender or investment due to a borrower’s or debtor’s inability to meet their debt commitments and is represented as CR_v = WCL-ECL or Credit Value at Risk = Worst Credit Loss-Expected Credit Loss. The Worst Credit Loss refers to the maximum potential loss that a lender or creditor could incur from a default or non-payment by a borrower or debtor & Expected Credit Loss (ECL) refers to the estimated average amount of credit losses that a lender or financial institution expects to incur over a specific period of time.

How to calculate Credit Value at Risk?

Credit Value at Risk is the possibility of financial losses for a lender or investment due to a borrower’s or debtor’s inability to meet their debt commitments is calculated using Credit Value at Risk = Worst Credit Loss-Expected Credit Loss. To calculate Credit Value at Risk, you need Worst Credit Loss (WCL) & Expected Credit Loss (ECL). With our tool, you need to enter the respective value for Worst Credit Loss & Expected Credit Loss and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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