Versions

 

PIB A5.6.6

An Authorised Firm using the Delta-plus method must calculate its Market Risk Capital Requirement for options by:

(a) calculating the Delta-weighted position of each option in accordance with PIB Rule A5.6.7 and adding these Delta-weighted positions to the net positions in the relevant risk category referred in sections PIB A5.2 to PIB A5.6 for the purpose of calculating the Specific Risk and General Market Risk Capital Requirements;
(b) calculating the Capital Requirement for Gamma risk of its option positions (including hedge positions) based on the options pricing model of the an Authorised Firm, in accordance with Rules PIB A5.6.8 to PIB A5.6.9;
(c) calculating the Capital Requirement for Vega risk of its option positions (including hedge positions) based on the options pricing model of an Authorised Firm, in accordance with PIB Rule A5.6.10; and
(d) summing the Capital Requirements determined in (b) and (c).
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]