Sensitivity To Volatility
A measure for the sensitivity of a price of a portfolio (or asset) to changes in volatility is vega, the rate of change of the value of the portfolio with respect to the volatility of the underlying asset.
Read more about this topic: Volatility Risk
Famous quotes containing the words sensitivity to and/or sensitivity:
“Freedom of choice for women, at the expense of the caring, warmth, and sensitivity to others so often associated with them, may be empty. In the thrust to redefine male and female roles, women must not become men; nor can men be permitted the continual dehumanization of their roles.”
—Kathleen Weibel (b. 1945)
“The sensitivity of men to small matters, and their indifference to great ones, indicates a strange inversion.”
—Blaise Pascal (1623–1662)