The Delta-plus method uses the sensitivity parameters or "Greek letters" associated with options to measure their Option Risk Capital Requirement. Under this method, the Delta-equivalent position of each option becomes part of the standardised methodology set out in sections
[PIB 5.4] to [PIB 5.7] with the Delta-equivalent amount subject to the applicable General Market Risk requirements. Separate capital charges are then applied to the Gamma and Vega risks of the option positions.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]