CoachThe CS01 of a position is the change in its value when a credit spread rises by one basis point: bucketed, per quoted maturity with the hazard curve re-bootstrapped, or parallel.
Exemplos
Example 13.15 (A protection position)
Long USD 10 million of five-year protection at the 100 coupon on the curve of Example 13.7: worth USD 88 133 (the risky annuity is 4.41), with a CS01 of USD 4 391 on the five-year quote and almost nothing elsewhere, and a jump-to-default gain of USD 5.91 million.