This session focuses on Commodity Vega (CMVG), which measures the risk of changes in the implied volatility of commodity prices. Unlike delta risk, which captures changes in commodity spot prices themselves, vega risk quantifies how CVA value changes when commodity volatility shifts. This is particularly important for portfolios with optionality, where volatility movements can significantly impact valuations independent of directional price changes.

This session focuses on Equity Vega (EQVG), which measures the sensitivity of CVA to changes in equity volatility. EQVG captures how shifts in implied volatility across equity markets affect the valuation of derivatives and hedging instruments within the CVA framework.

This session focuses on Reference Credit Spread Vega (RCSVG), which measures the sensitivity of CVA to changes in the volatility of credit spreads for reference entities in credit derivatives. Unlike Counterparty Credit Spread Delta (which has no vega component), RCSVG captures the option-like characteristics of credit exposure, as volatility in reference credit spreads directly affects the potential future exposure in Monte Carlo simulations.