Vega risk is a measure of the sensitivity of a financial derivatives value to the volatility of the price of its underlying asset. Vega may also be referred to as Kappa when discussing derivative risk as Vega itself is not actually a Greek letter.
Vega risk is a measure of the sensitivity of a financial derivatives value to the volatility of the price of its underlying asset. Vega may also be referred to as Kappa when discussing derivative risk as Vega itself is not actually a Greek letter.