PIB A5.6.10
An
(a) multiplying the sum of the Vegas for all option positions in respect of the same underlying financial instrument or commodity, as defined in the PIB Rule 5.6.8(c), by a proportional shift in volatility of ±25%; and
(b) aggregating the absolute value of the individual Capital Requirements which have been calculated for Vega risk.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]