APT in the Press: Volatility, Vega and German Efficiency
Volatility, Vega and German Efficiency
© 2009 Incisive Media Investments. All rights reserved. Used by permission. First published in Waters on August 19 2011
Vega risk, especially when it comes to derivatives, is more important than ever in today's volatile markets.
While commentators speculate about the likelihood of a double-dip recession, markets continue their death spiral, and intra-day swings occur with such frequency and severity that it's impossible to predict what's next, echoes of the financial crisis continue to resound. Risk exposure is of significant concern for market participants, especially when it comes to derivatives markets.
Delta and Gamma risk are primary concerns for investors in these markets, naturally, but Vega risk is an often overlooked, yet vitally important, factor, according to Dr Laurence Wormald, head of research at SunGard APT.
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