Measuring and managing market, credit and Op risk [80]

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Bullet points include: Hedging of a risk may not involve just a one off transaction E.g. dynamic hedging of an option requires hedge position to change as option delta changes Option gamma – trades required can become very large close to maturity if price is close to strike Infrastructure required. Who will: Monitor positions? Effect relevant trades? Optimise / choose frequency of trades versus (market exposure) quality of hedge?

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