CDS Sensitivities and Hedging
Interactive

CDS Sensitivities and Hedging

Intuition Publishing
Updated Sep 24, 2020

There are two major measurements commonly used to value risky payments. Risky annuity calculates the current value of a constant stream of risky payments. Risky duration calculates current values' sensitivity to a change in the credit curve and default/survival rates. Here we examine the values of CDS transactions relative to the market environment.