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Price Value of a Basis Point

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Price value of a basis point (PVBP)
Also called the dollar value of a basis point; a measure of the change in the price of a bond if the required yield changes by one basis point.
Price Value of a Basis Point
The amount the price of a bond changes when the required yield changes by one basis point. Various factors influence the amount of the price value of a basis point, including the time until maturity and the coupon rate. However, in general, there is an inverse relationship between the price and the required yield.
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Of the 142 firms using derivatives, 91 firms (or 64%) report using at least one of the four risk-management methods which we listed in our question: value-at-risk, stress testing or scenario analysis, option sensitivity measures, and price value of a basis point ("01") or duration.
1995 Wharton survey of derivatives usage by US non-financial firms by Bodnar, Gordon M.; Hayt, Gregory S.; Marston, Richard C. / Financial Management
 
 
 
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