Risk & the Greeks

How a desk measures what it is holding — DV01, the option Greeks, spread and default risk, the daily explain and value at risk.

6 products, each with a five-step lesson, a worked example and a bank of twelve questions.

Risk & the Greeks is part of the OTC Learn subscription; the 36 products the app shipped with are free.

• DV01 and Rate Risk — What one basis point is worth
• Delta and Gamma — The hedge, and how fast the hedge goes stale
• Vega and the Volatility Surface — What a book loses when volatility reprices
• CS01 and Jump to Default — Spread risk and default risk are not the same number
• P&L Attribution — Yesterday’s profit, accounted for line by line
• Value at Risk — One number for tomorrow’s loss, and what it leaves out

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