- 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 option sensitivity measure is analogous to the duration of a fixed-income security?
B. Gamma
C. Vega
A. Delta
B. Gamma
C. Vega
Correct Answer: A
Like a duration, a delta is a first-order effect.
User Contributed Comments 2
| User | Comment |
|---|---|
| warnggg | Isn't vega a first-order effect too? |
| breh | yes verga is a first-order effect. however, Delta is more similar to duration as they both measures the sensitivity to the price of the underlying. |