price sensitivities = #1 valuable output of risk-run

[[complete guide]] P433, P437 …

After reading these pages, I can see that per-deal PnL and markt-to-market numbers are essential, but to the risk manager, the most valuable output of the deal-by-deal “risk run” is the family of sensitivities such as delta, gamma, vega, dv01, duration, convexity, correlation to a stock index (which is different from beta) , ..

Factor-shocks (stress test?) would probably use the sensitivity numbers too.

In Baml, the sensitivity numbers are known as “risk numbers”. A position has high risk if it has high sensitivity to its main factor (whatever that is.)

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