PPT Slide
Credit Exposure Amount that stands to be lost upon default and all
of the outstanding value is lost.
Credit Risk Takes into account the likelihood of default and
the amount that might be recovered if it did.
• Consider a portfolio of loans to small corporates. Since those loans
are generally illiquid, there is no meaningful market value for the
loan book. The credit exposure does not change even when the
benchmark interest rates (a market risk) go up.