Delta sensitivities are usually computed to show Present Value response to 100% change in underlying market factors.
However, we can define risk factor, which has the highest expected impact on Present Value.
Category: Sensitivities
The delta equivalents of a position describe the response of a position/portfolio to a change in the market data.
Delta equivalent is the derivative of the Present Value with respect to a given risk factor, multiplied by the value (price) of that particular risk factor:
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