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Credit risk the risk of loss if a counterparty defaults on a contract and at the time of default the contract has a positive marktomarket value for the nondefaulting party. Derivatives and risk management made simple jp morgan. Mba financial derivatives pdf free download mba 4th sem. Although the note focuses primarily on price risk delta and the delta risk gamma, it does address volatility risk vega, interestrate risk rho, and time decay theta.
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