  Analytical, free of time consuming Monte Carlo simulations, framework for
credit portfolio systematic risk metrics calculations is presented. Techniques
are described that allow calculation of portfolio-level systematic risk
measures (standard deviation, VaR and Expected Shortfall) as well as allocation
of risk down to individual transactions. The underlying model is the industry
standard multi-factor Merton-type model with arbitrary valuation function at
horizon (in contrast to the simplistic default-only case). High accuracy of the
proposed analytical technique is demonstrated by benchmarking against Monte
Carlo simulations.
