Cumulative Portfolio Credit Loss

Definition

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

$L_{k}^{P}=\sum _{l=t}^{k}\sum _{i=1}^{N}L_{k}^{i}$

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

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