Entire section Custom print Link Text Only Rich Text Print
  Versions

 

CA-13.3.12

To summarise, capital requirements for, say OTC options, applying the delta-plus method are as follows:

(a) Counterparty risk capital charges (on purchased options only), calculated in accordance with the credit risk rules (see also Appendix CA-2); PLUS
(b) Specific risk capital charges (calculated as explained in Paragraph CA-13.3.11); PLUS
(c) Delta risk capital charges (calculated as explained in Paragraphs CA-13.3.3 through CA-13.3.9); PLUS
(d) Gamma and vega capital buffers (calculated as explained in Paragraph CA-13.3.10).
January 2015