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Derivatives

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  • 2085
  • August 15, 2020
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Credit Spread 01

With respect to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time (it stands for credit spread dollar value of one basis point). 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 risky DV01, risky PV01, or risky PVBP.


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