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Short vega risk
Posted: January 11th, 2011, 2:18 pm
by Loner
Hi how to assess whether a short interest rate vega risk position is in right size relative to the implied vol pnl? Thank you.
Short vega risk
Posted: January 11th, 2011, 7:11 pm
by daveangel
don't understand... are you trying to figure out if the volatility of the p+l is in line with the size of vega ?
Short vega risk
Posted: January 15th, 2011, 11:57 am
by Loner
Sorry I am not clear in my question. I calculated the standard deviation of vega pnl in relation to historical vol move. From here how do I conclude whether the vega position is in the right size or too large. Thank you.
Short vega risk
Posted: January 16th, 2011, 5:02 pm
by zrj
How about checking your risk limits, stop loss or similar?