chapter 19
Measuring Risk Characteristics of Derivative Instruments
Learning Objectives
After reading this chapter, you will be able to understand
- derivative Greeks and their use in measuring risks
- risk mapping
- risk neutrality
Chapter Outline
19.9 Delta, Gamma, Vega, Theta Hedging
19.11 Delta, Vega, Rho Hedging
19.12 Derivative Instrument Risk Management
THE SITUATION
During the financial crisis of 2007–08 in the United States, insurance companies used credit default swaps, a derivative instrument to protect investors holding mortgage-backed securities. ...
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