# CS01 implied Var calculation

is there any straightforward way to roughly calculate the daily var from the CS01. Mostly from the corporate bond position. thanks,

• Please clarify your specific problem or provide additional details to highlight exactly what you need. As it's currently written, it's hard to tell exactly what you're asking.
– Community Bot
Commented Jul 31, 2023 at 14:30
• Please clarify. Do you have a VaR/US from all market factors and want to see how much came from CS01? Google "component vaR". Or are you asking how to calculate VaR given CS01 sensitivity? Commented Jul 31, 2023 at 14:48
• CS01 is the dollar value of a 1bp shift of your default curve spread. You can roughly assume this is the first derivative of your price wrt the spread (CS01 is not a derivative) and that the PV of your bond is linear in the spread (again, not necessarily the case). Happy with that you then choose how to model the dynamics of the spread , i.e. your risk factor (e.g. by MC simul or historical 1d sampling) and by Taylor approx you can calculate/sample the xth percentile of the PL distribution for your corp bond. This is very rough mathematically but not unreasonable for a cash trading desk. Commented Jul 31, 2023 at 14:59
• @DimitriVulis Hi Dimitri, i was asking how to calculate var given CS01 sensitivity Commented Aug 1, 2023 at 15:42

Happened saw this post. Gabriele provided good explanation if you could understand: he is simplifying your CS01 VaR by consider your bond position could be priced using CS01. The largest loss happens on the days with largest spread change (MC or historical for risk factor - credit spread). say, the 99% (assume 99% confidence level) spread is 200bps, the CS01=\$10/bps, then your VaR is \$2000.