Interpreting Bloomberg YAS_RISK as DV01 per Face Value
Summary
The document clarifies the meaning and units of Bloomberg's YAS_RISK field for bonds. A reply attributed to Bloomberg support says the field represents DV01 divided by 100: DV01 is the bond's price change for a one-basis-point change in yield. The field is expressed in the bond's currency, with the explanation linking this to its relationship to face value.
Another answer shows how a user might scale the field to a stated nominal amount and then combine the resulting DV01 with a yield change to estimate profit or loss, accounting for direction. A separate, less certain reply interprets the field as sensitivity per 100 basis points and refers to benchmark rates at comparable duration, with settings available in the terminal. These explanations are not fully reconciled, so users should verify field conventions and yield-change units for their security and setup before applying the figures. The examples explain unit conversion, not a complete bond valuation or risk model.
Key ideas
- One answer defines YAS_RISK as DV01 divided by 100, with DV01 tied to a one-basis-point yield move.
- The cited explanation says the field is denominated in the bond's currency.
- A response demonstrates scaling the field to a chosen nominal and applying a yield change to estimate P&L.
- Long and short positions have opposite P&L signs for the same yield move.
- The replies give differing interpretations, so field settings and units should be checked before use.
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Full text
# Definition of the field YAS_RISK for bonds on Bloomberg terminal
# Definition of the field YAS_RISK for bonds on Bloomberg terminal
The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is used for the price change, and in which units the interest rate is measured (basis points?).
Also, I don't have much experience with bonds, so I'm not sure if the change in interest rates refers to a change in the yield of the bond.
## Answer by jroy (score 1, accepted)
https://quant.stackexchange.com/a/45283
I learned that I can contact Bloomberg Help Desk and got an answer from there: YAS_RISK is DV01/100, where DV01 is the dollar price change resulting from a one-basis-point change in yield.
YAS_RISK is given in the currency of the bond, because DV01/100 is a percentage of the face value, and the face value is given in the currency of the bond.
Please correct me if I misunderstood something.
## Answer by BongoBob (score 1)
https://quant.stackexchange.com/a/45279
I think it might be helpful to give an example here. So lets say you would want to estimate your PnL for a bond using the yield change and use `YAS_RISK` to retrieve your DV01 for a specific nominal.
- Assuming nominal of 1,000,000
To get the DV01 for your nominal of 1,000,000 using the `YAS_RISK` you simple take `1,000,000*BDP("security", "YAS_RISK")/10000`
If you want the PnL based on the yield change you multiply `(-100)*RT_YLD_CHG_NET_1D("security")` by your DV01 abovce (-100 comes from converting pct to Bps and negative sign if long, if short 100).
## Answer by hroptatyr (score 0)
https://quant.stackexchange.com/a/45278
I've only got the same documentation as you but I'd say `YAS_RISK` is a rate of change per 100 bp interest rate change, i.e. the unit is percent which makes sense given that most bonds are quoted in percent on par.
Change in interest rates refers to the consensus benchmark rates at comparable duration (by default). Details can be set up using `YASD <GO>`.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.