Cumulative Portfolio Credit Loss

From Open Risk Manual


At each one of the future timepoints k we will experience credit losses captured by the random variables L^i_k. L^{P}_{k} is the observed value of the cumulated portfolio credit loss at intermediate times k \in [t, T]

L^{P}_{k} = \sum_{l=t}^{k} \sum_{i=1}^{N} L^i_k

L^{P}_T \in [0, N] is the total portfolio credit loss variable (random and unknown at t), but fully realized and known at time T.