The term Credit Value at Risk arises from the application of the Value at Risk concept for market risks for measuring of credit risk. The Credit VaR forms an estimate of by how much the losses arising from credit risks could potentially exceed the margin for expected standard risk costs within a year (amount of highest possible default under a given probability). This approach is based on the premise that the standard costs of risk only form the long-term average of non-performing loans, which may, however, deviate (positively or negatively) from the actual level of non-performing loans during the current financial year.
German: Credit Value at Risk (Credit VaR) (224)
Source: FMA AT m. e. E., 30.10.2018