Financial crises cause losses in many portfolios. The measures of value at risk quantify the severity of the consequential negative impacts and are therefore used as the capital buffers prepared for financial risks. Basel II Accord classifies financial risks into the following three categories:

1. Market risk: the loss caused by price fluctuations.

2. Credit risk: the loss triggered by default events.

3. Operational risk: the loss resulted from factors other than those in 1 and 2.

The credit value at risk plays a pivotal role in the reserve capital assignment because credit risk is the most contributing component among the three factors listed. In this survey, we describe the definition and computation of the credit value at risk and give some guidelines for stress testing. Some implementation details of credit value at risk are also presented.