Credit portfolio assets such as CDO (collateralized debt obligation) have the highest growth among all asset backed securities. This increases the demand for risk management of credit portfolio assets. Since most credit portfolios comprise heterogeneous credit assets, it makes the risk evaluation more complicated. This study combines an intrinsic valuation approach with factor copula to estimate endogenously expected recovery rate that are useful in estimating credit adjusted VaR of credit portfolios such as risky bond portfolios.