Difference between Credit VaR and VaR

there is subtle difference between them :

VaR

• Value at Risk - is a statistical technique which, given some parameters (horizon, confidence interval, look-back period) and estimation methodology, attempts to forecast the worst possible loss of my portfolio (with a given confidence) at any given horizon. So, for example having a portfolio on which I calculate a 99% 1-day VaR and found it to be 100k, the results could be interpreted as following, at any given one day, with 99% certainty, my portfolio is not expected to loose more than 100k.

Typically, how this is done is, by decomposing all assets of the portfolio into relevant risk factors (factors relevant for its valuation) and simulating their behavior, re-value the entire portfolio. Such factors can be swap curves, FX rates, credit spreads, equity prices, equity indices, implied volatily etc. This approach as it is evident, concerns market risk factors and how they on a day-to-day affect the performance of the portfolio.

Credit VaR

• this statistical technique (various implementations and methodologies) provides a measure of the portfolio's risk given changes in the value of debt caused by counterparty default or deterioration of that counterparty's credit worthiness. Furthermore, intra-portfolio asset correlation is an important aspect here (a lot of discussion can be made around this topic and various methodologies have been developed). As it is evident, this type of technique most closely concerns debt portfolio with longer horizons.