Published December 22, 2022
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Credit Delta and Credit VaR Measures
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The article discusses credit delta (PV01) and credit VaR measurements. PV01 is defined as the change in market value caused by a 1 basis point move in swap spread. Credit VaR (CVaR) is defined as the potential change in market value over a 1-day period at the 99% confidence level due to changes in credit spreads.
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https://ia601408.us.archive.org/7/items/arbitrary-cash-flow/ArbitraryCashFlow.pdf
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CreditDeltaVaR.pdf
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(108.6 kB)
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