In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time. It reflects the change in market value of a CDS in response to a one basis point change in the swap premium. More specifically, it is the change in a CDS contract market for a one basis point parallel shift in the credit curve.
It is also known as CS01, risky DV01, or risky PVBP.
Comments