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Credit derivatives terminology

By Vinod Kothari

 

 

Delta hedging:  A dynamic hedging device whereby someone retains a risk by not fully hedging a position on a derivative(s), but hedges oneself based on the delta, that is, the proportion in which a unit change in the market price of the hedged item results into change in market price of a hedging derivative. In the context of CDOs, delta hedging device is often used for managing the retained risk in single tranche synthetic CDOs.

 

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