Delta-Plus Method Guidance

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]