An asset manager has a short position of $10,000$ shares of company DMT$.$ The asset manager wants to hedge $35\%$ of the market risk associated with this position. For that purpose, it has been decided to use call options with shares of company DMT as underlying. The absolute value of the delta of this call option is $0\mathrm{.}25.$

a$)$ What type of risk does delta measure and is it a reliable risk measure for large changes in the risk factor? Explain your answer.

$[10$ marks$]$

b$)$ Give an example, explaining its rationale and quantifying it$,$ of a hedging strategy based on the use of call options that the asset manager can implement to reach his hedging objective.

part b please