The risk that arises from the “unfavorable” change in bond values (or values of credit derivatives such as credit default swaps) in response to changes in underlying credit spreads. CS01 captures the change in present value for a one basis point (1 bps) parallel upward shift in the underlying credit spread curve.
Derivatives
Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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