Non-statistical risk measures typically used to quantify market risk include:
* Option Sensitivities:
* Measures such as delta, gamma, vega, and theta which indicate how option prices are affected by various factors.
* Convexity:
* This measures the sensitivity of the duration of a bond to changes in interest rates, an important factor in bond risk management.
* Basis Point Values (BPV):
* This measures the change in the value of a financial instrument or portfolio for a one basis point change in yield, used to assess interest rate risk.
* Net Closed Positions:
* This is not typically used to quantify market risk. It simply represents the net value of positions that have been offset or closed out and does not provide a measure of risk exposure.
Thus, net closed positions are not typically used to quantify market risk.
References
Source: How Finance Works