Filter by Categories
Accounting
Banking

Derivatives




CR01


It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity of a CDS’s value to a one basis point change in its premium (CDS premium or the credit spreads). In other words, it captures the CDS price change for a 1bp shift in the credit par spread.

It may also measure the sensitivity of an investment portfolio per one basis point move in credit spreads.

It is also known as credit spread exposure or CS01 or SDV01.



ABC
Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
Watch on Youtube
Remember to read our privacy policy before submission of your comments or any suggestions. Please keep comments relevant, respectful, and as much concise as possible. By commenting you are required to follow our community guidelines.

Comments


    Leave Your Comment

    Your email address will not be published.*