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Credit Delta and Credit VaR Measures

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 22 Dec 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7473670 , 10.5281/zenodo.7473669

Credit Delta and Credit VaR Measures

Abstract

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.

https://ia601408.us.archive.org/7/items/arbitrary-cash-flow/ArbitraryCashFlow.pdf

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Credit Delta and Credit VaR Measures

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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