This course examines how to value credit default swap positions. The course explains in detail what is meant by risky PV01 and spread DV01, and how these measures are calculated. It is shown how risky PV01 is used to mark CDS positions to market, and the relationship between risky PV01 and spread DV01 is closely examined. The course begins with a discussion of how credit risk is related to default probabilities and expected recovery rates. This relationship is critical to understand the working of the models used to analyze CDS and other credit derivatives work.