Credit Risk refers to changes in value caused by possible credit events including upgrades or downgrades in obligor credit quality and defaults. Commonly, credit risk is associated with strict underwriting standards, limit enforcement and counterparty monitoring, thus focusing more on the qualitative framework. However, in the late 90s, credit risk has become the key concern of institutions due to an increasing amount of complex credit instruments. Therefore, a few methodologies of measuring credit risks have emerged. Probably, the most common approach to quantify credit risks refers to the VaR statement, which captures both rating change and default risks.