wilmott.com

I've heard some people mention the term "deta" in the context of credit pricing. It was explained to me as a merger of delta and beta. It is supposed to indicate the riskiness of a client portfolio in the context of market variables such as FX or interest rates. In other words the client specific sensitivity of the cost of credit.Has anyone out there come across this term before. I was wondering whether this is an established terminology.Cheers!

Not sure about the exact definition but it's being used in similar context so that may be right.

I now heard that Paul Wilmott may have come up with this concept. Any one got any more news?