Dv01 and CS01
Posted: 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