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CA-13.3.11

Past version: Effective from 01 Apr 2008 to 31 Dec 2011
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The capital charges for delta, gamma and vega risks described in paragraphs CA-13.3.1 through CA-13.3.10 are in addition to the specific risk capital charges which are determined separately by multiplying the delta-equivalent of each option position by the specific risk weights set out in chapters CA-9 through CA-12.

Apr 08