Cumulative Portfolio Credit Loss

Definition

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.

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