(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]