- Explore the principles of delta, gamma, vega, and theta (DGVT) risk sensitivities.
- Understand the Taylor Series Expansion as an adaptation to risk measurement using DGVT.
- Examine option volatility skew and its importance to Vega risk sensitivity measurement.
- Measure delta, gamma, and vega risk sensitivities and estimate portfolio profit or loss in response to market changes (Excel).
- 1.5 hours
- Staff and management in Risk, Finance, Operations, Audit, Risk IT, and Front Office, in financial organizations globally.
Earn verifiable Continuing Education and Professional Development credits with Optimal MRM’s e-Learning program.
Recommended Course Prerequisites:
How long do I have to complete this course?
- You will have access to course content for 270 days from enrollment date and can choose to complete the course at any time during this period.