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Dv01 and CS01

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krishman14
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Joined: October 13th, 2015, 8:40 pm

Dv01 and CS01

November 17th, 2015, 2:47 pm

I have a question on IRDv01 and CS01 on VaRMy VaR is increased from say 1500K to 1700K Which is contributed by Credit Spread Var and Interest rate VaRIRDv01 Decreased from say -25K to -1 KCS01 Decreased from say +120K to 100KHow should I justify the VaR movements using the sensitivity movements?Br,Manu
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kermittfrog
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Joined: September 9th, 2010, 10:25 am
Location: Frankfurt

Dv01 and CS01

November 17th, 2015, 4:48 pm

Shouldn't you also consider potential changes in correlation / volatility?
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