A convert book can be delta neutral at the close and still fail before the next rebalance. Handbook identifies market, liquidity, takeover, documentation, model, counterparty, operational, regulation, and financing risk—the checklist before leverage. Nick's equity, rates, credit, liquidity, legal, FX, and leverage risks map into those buckets, but do not replace them.
The categories matter because a loss mechanism determines a control. A Greek may control a market factor; it cannot correct an omitted soft-call term, force a lender to maintain a locate, or create balance-sheet capacity. Use this map with the next lesson's scenario stack, rather than treating all residual risk as “model error.”
Learning objectives. By the end of this note you should be able to:
- list the Handbook's risk categories with one convert-specific example each;
- relate Nick's macro risks to that list;
- explain why coherent risk measures sit beside — not instead of — greek dashboards;
- flag which categories Greeks do not capture.
- assign a practical control and a risk owner to each category.
In this lesson
- Categories
- Nick's macro map
- Coherent measures and incomplete summaries
- A pre-trade risk register
Before you start
The full lesson, with worked examples and exercise solutions, is for members.
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