We have computed the lattice structure, bulk modulus, electronic structure, and cohesive energies for the CoSb3 skutterudite by performing plane wave and atomic basis set DFT, as well as HF atomic basis set calculations. We find that plane wave and atomic basis set DFT calculations compare almost perfectly well. Band gaps vary significantly, depending on the applied functional and subtle changes of the lattice structure of CoSb3. Where LDA strongly overestimates the binding, cohesive energies are reasonably well described by GGA and hybrid DFT functionals within 2 eV in comparison to experiment. HF results are unreasonably far off compared to DFT and experimental values for all calculated properties, which indicates that correlation effects play an important role in the characterization of skutterudites.