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- jamesnowak
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CDS DV01
Does the DV01 of a CDS match the DV01 of a Bond?Any papers/examples on the above notion would be handy..Thanks
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- AlphaNumericus
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CDS DV01
If the DV01 of the CDS is calculated as the change in mtm from bumping the CDS spread 1bp; and the DV01 of the bond is calculated as the change in the model price (using Duffie-Singleton - present value of the bond's cash flows as if they were a CDS) from bumping the CDS spread (not the same as yield01); then they will be comparable. However not every change in a bond's price is fully explained by the changes in the CDS spread and the risk-free rate.