IBANK 6.3.2 Measuring Options Risk

(1) An Islamic banking business firm that does not write options must use the simplified approach.
(2) An Islamic banking business firm that writes options must use the delta-plus method.

Note If all the written option positions are hedged by perfectly matched long positions in exactly the same options, no capital charge for options risk is required.
Derived from QFCRA RM/2015-2 (as from 1st January 2016).