Nov 13, 2022 · Please tell me the difference between CS01 and RST 1% (Relative spreads tightening by 1%) and how these two are used to monitor the credit flow traded product's …

Jun 25, 2021 · 1 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 …

Aug 16, 2021 · Can you please post your desk's definitions of "CS01" and "Risky PV01", since neither measure is standardized? CS01 is usually, but not always, the P&L impact from 1 …

Jul 31, 2023 · 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 derivative) and …

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 …

I estimate daily pnl on a CDS position using the spread change times the CS01. However I would like to estimate the PnL for a longer trade that has gone from a 5Y CDS to a 4Y with …

Jul 14, 2025 · My understanding of the CS01 of a CDS is that it describes the change in PnL of a CDS position when you adjust the CDS spread by one basis point. For a bond, spread 01 is …

To be clear CDS are used to hedge both the exposure of sovereign bonds and corporate bonds. How can I measure the effectiveness of the CDS hedge? I have all portfolio composition as …

Sep 25, 2023 · CS01 stands for credit spread duration, and it is a measure of the sensitivity of an asset or liability to a parallel shift in credit spreads... The EBA guidelines recommend using …

Sep 5, 2019 · I am working on validating the CDS volatility generated by a third party risk engine. It appears that returns are calculated with simple substractions and adjusted for the CS01: …