Delta-hedging vega risk?

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Subfields: Finance

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Deep hedging (2018, background): “Crépey (2004). For risk management, we will then compute ‘greeks’ with respect not only to spot but also to calibration input parameters such as forward rates and implied volatilities—even if such quantities are not actually state variables in the underlying model.”
Optimal Delta Hedging for Options (2017, background): “Crépey 2004) and Vähämaa (2004) test setting the partial derivative equal o (or close to) the (negative) slope of the volatility smile, as sugested by the local volatility model.”
Does herding affect volatility? Implications for the Spanish stock market (2012, background): “In fact, some authors (e.g., Crépey 2004) explain how the different volatility regimes exhibited in certain markets may require especially useful alternative volatility measures, and how market complexity and incompleteness of the volatility measures are drawbacks that call for a recalibration of…”