A state of the delta of an option which makes the variation of an in-the-money option's hedge ratio extremely wide just prior to expiration. It is...
The risk that arises when the price of an asset underlying an option approaches its strike price as it gets closer to expiration date. This is...
A threat or opportunity that is by nature quantifiable or can be quantified using typical risk management tools and analysis....
The instantaneous probability of default (conditional default rate) by an issuer. This risk management tool measures the probability of default...
A type of market risk that arises from unfavorable changes in the correlation between the price of an asset underlying a quanto option and the volatility...
A type of transformation that is performed by banks and other depositary institutions (financial intermediaries) whereby the small amounts deposited with them are transformed...
It is defined as positions which are taken in complex options that virtually impose no risk or a limited deal of risk such as long option, long...
It stands for limited-risk options, i.e., positions which are taken in complex options that virtually impose no risk or a limited deal of risk such as long option, long...
The risk that arises from any fluctuations in the fair value of a financial instrument or future cash flows associated...
A hedge fund can borrow in order to enhance its overall returns. Borrowing, or using leverage, is a source of both volatility risk and financing...