Last Updated
：2025/11/24
cega
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(finance) A measure of derivative price sensitivity with respect to changes in the correlation between the underlying assets in a multi-asset option.
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cega
After backtesting, the risk team concluded that the cega of the multi-asset option could amplify P&L swings during sudden correlation shifts, so they hedged accordingly.
See correct answer
After backtesting, the risk team concluded that the cega of the multi-asset option could amplify P&L swings during sudden correlation shifts, so they hedged accordingly.
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