IBANK 6.3.10 Vega Capital Charges
(1) An Islamic banking business firm that writes options must calculate the capital charge for vega risk (vega capital charge) for each option position separately.
(2) To calculate vega capital charge, the firm must multiply the vega for each option mentioned in the definition of VU in rule 6.3.9(2) by a 25% proportional shift in the option's current volatility. The results must then be summed across each underlying.
(3) The total vega capital charge is the sum of the absolute values of the vega capital charges across each underlying.
|Derived from QFCRA RM/2015-2 (as from 1st January 2016).|