I have come across a somewhat strange formula (atleast to me) for Value at Risk calculation for a Bond position. This typical formula looks like below:

PnL = Beta * "Some industry Credit spread" * CV01 * CreditSpreadDelta

it looks like in the historical data base is maintained for the 2nd item in the RHS of above formula.

Can Quants here through me some light to understand above formula. Your help will be highly appreciated. Thank you.


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