fixed income - the difference between CS01 and RS 1
Nov 13, 2022 · The disadvantages of CS01 include: it ignores the convexity (credit spread gamma), which can be quite material if the credit spread moves by tens of basis points. if the …
Quick rule of thumb for DV01 and CS01 calculations
Jun 25, 2021 · If someone tells me there is a IRS and a CDS both with 10M notional and 5y maturity, is there a reliable quick calculation that I could easily do mentally to approximately …
Risky PV01 Vs CS01 for Credit Derivatives
Aug 16, 2021 · CS01 is usually, but not always, the P&L impact from 1 basis point change in the quoted spread. For indices quoted on spread, like CDX IG, you just perturn this spread. For …
Cs01 computation for TRS with underlying single name bond
May 21, 2024 · $\begingroup$ The simplest case - the mark to market of the TRS is the same as the underlying bond (dirty price, cum accrued), the funding leg and TRS seller's CVA …
fixed income - CS01 implied Var calculation - Quantitative Finance ...
Jul 31, 2023 · $\begingroup$ CS01 is the dollar value of a 1bp shift of your default curve spread. You can roughly assume this is the first derivative of your price wrt the spread (CS01 is not a …
interest rates - Quantitative Finance Stack Exchange
May 1, 2023 · There's a discussion about credit spreads on this book, where CS01 is computed by changing z-spreads. Z-spread $\textbf{z}$ is obtained from the quoted price of a bond and …
credit risk - How to measure effectiveness of CDS hedging ...
A bond model can compute the bond-CDS basis (given bond quote and CDS spread) and also CS01 by tenor bucket and interest rate deltas by tenor bucket. A P&L explain (P&L attribution …
CDS volatility: daily return calculated by simple substraction (Pt
Sep 5, 2019 · It appears that returns are calculated with simple substractions and adjusted for the CS01: (Price of the CDS today - Price of the CDS yesterday) * CS01 The argument is that log …
CDS Credit Default Swap PnL - Quantitative Finance Stack Exchange
This would be a clean or dirty MtM depending on whether the CS01 is clean or dirty. For reasonable levels of spreads and interest rates, we can approximate the CS01 with the time to …
What's the difference between PV01 and DV01 of a bond?
May 7, 2017 · $\begingroup$ This definition is accepted but I think the reply by David below is actually more accurate. On Bloomberg YAS the definitions are as follows: DV01 - The dollar …