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Thank you very much David, it clarifies a lot! I actually preferred your own explanation. Gregory's quote refers to Market VaR I think, and that's exactly what I am confused. In my research I was almost saying VaR refers to a loss, while PFE refers to a gain, however as I was talking explicitly...

Hi, thanks for this! However, the VaR you mentioned is Market VaR right? So what is the difference between Credit VaR and PFE then? As far as I understand, Credit VaR also measures the loss in case counterparty defaults? Thank you very much!