CoachJump-to-default risk (JTD) is the change in a position’s value if the name defaults now: the protection paid or received, , minus the position’s current value, which disappears. It is not captured by CS01: default is a jump, not a large spread move.
Exemples
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.