- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 41. Measuring and Managing Market Risk
- Subject 2. Other Key Risk Measures
CFA Practice Question
Which statement about vega is true?
B. Vega is applicable to options as well as portfolios that contain options.
C. Vega is analogous to the convexity of a fixed-income security.
A. Vega is a third-order effect of a change in option prices for the underlying.
B. Vega is applicable to options as well as portfolios that contain options.
C. Vega is analogous to the convexity of a fixed-income security.
Correct Answer: B
A is false. Vega measures the effect of underlying volatility. C is false. Gamma is a second-order effect analogous to the convexity of a fixed-income security.
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