CA-13.4.8

Location:

Versions

Past version: Effective from 01 Apr 2008 to 31 Dec 2011
To view other versions open the versions tab on the right

To summarise, capital requirements for, say OTC options, applying the scenario approach are as follows:

(a) Counterparty risk capital charges (on purchased options only), calculated in accordance with the credit risk regulations; PLUS

(b) Specific risk capital charges (calculated as explained in paragraph CA-13.4.7); PLUS

(c) Directional and volatility risk capital charges (i.e., the worst case loss from a given scenario matrix analysis).

Apr 08