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PIB 5.8.1

An Authorised Firm in Category 1, 2 or 5 must calculate an Option Risk Capital Requirement if it has positions in Options in its Trading Book by:

(a) applying its internally developed Market Risk model which has been approved by the DFSA for this purpose; or
(b) by applying the Rules set out in PIB section A5.6.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]