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PIB A5.6.10

An Authorised Firms must calculate its Capital Requirement for Vega risk by:

(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]