# Market vs. Credit Loss distributions: differences

If we define the Loss distribution of a portfolio as

$$L_{t+h}=-(V_{t+h}-V_{t})$$

where $$V_{t}$$ is the value of the portfolio at time $$t$$ and $$h$$ is the time horizon, which are the (graphical) differences between a Loss distribution regarding Market Risk and a one regarding Credit Risk?

For example, could a Market Loss distribution of a bank portfolio have an expected loss different from zero?

Can't the Credit Loss distribution go below zero because you can't earn more than what you lent, if the cash flow is discounted?

For an example of the portfolio credit loss distribution, please check the Vasicek distribution, which is frequently used for modelling the credit portfolio losses. It shows a a very long tail - an example below:

In market risk, one talks about Profit and Loss (as opposed to just loss because market portfolios do make profit from time to time!). The distribution will be close to normal (compared to normal it has fat tails, skew, tall peaks etc), mean usually close to zero but can be positive or negative.