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CA-8.4.10

In drawing up the delta-plus and the scenario approaches, the Central Bank's present set of rules do not attempt to capture specific risk other than the delta-related elements (which are captured as explained in Paragraphs CA-8.4.7 and CA-8.4.11). The Central Bank recognises that introduction of those other specific risk elements will make the measurement framework much more complex. On the other hand, the simplifying assumptions used in these rules will result in a relatively conservative treatment of certain options positions.

October 07