取引先の信用リスクを図る

CCRの損失額を計算する方法に関して悩みました。ジェーピーモルガンのリュウ氏が提出した計算式は
L(T) = SIGMA(iT)(CVA(T)-CVA(0))
This appears to be the sum of the expected losses by defaults before time T and the capital needed to be carried to cover losses from defaults after time T (using the CounterParty Value Adjustment at T as the additional loss from default at any time after T). LGD is the loss given default, and E is the exposure.　　基本的にCVA(0)以上の可能な損失を想定する数字だと思います。