EY Global Delivery Services ( EY GDS) Market Risk Analyst Interview Questions and Answers

Vega in swap valuation measures the sensitivity of the swap's value to changes in volatility.

• Vega is a risk measure that quantifies the impact of changes in implied volatility on the value of a swap.

• It is used to assess the risk associated with changes in market volatility.

• A higher Vega indicates that the swap's value is more sensitive to changes in volatility.

• Vega is particularly important for options and other deriva...read more

Option Greeks are a set of risk measures used in options trading to assess the sensitivity of an option's price to various factors.

• Option Greeks include Delta, Gamma, Theta, Vega, and Rho.

• Delta measures the change in option price for a $1 change in the underlying asset price.

• Gamma measures the rate of change of Delta.

• Theta measures the change in option price with the passage of time.

• Vega measures the change in option p...read more