For a portfolio of fixed income, is there a framework or model for providing a VaR-type estimate that takes into account not only market risk factors, but also the loss associated with the probability of an issue defaulting or having its rating downgraded?
While I've seen some applications (eg CreditMetrics) that are successful in capturing default/issuer risk, these models tend to isolate the credit loss and do not capture market risk factors. If I wanted to have a single VaR estimate to capture the potential loss threshold from both credit and market risk factors for a very large fixed income portfolio, what papers or model would be a good starting point to look at?