Market Risk Measurement: Beta, Option Greeks, and VaR
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Market Risk Measurement: Beta, Option Greeks, and VaR

Intuition Publishing Pty Ltd
Updated Aug 26, 2020

Market risk for equities is captured by beta, while for options, this risk is measured by the "Greeks", such as delta, gamma, and vega. Here we explore beta and the challenges involved in calculating. We also explore option price sensitivity measures.

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