IBANK 6.3.8 Capital Charges — Options
(1) The capital charge for an option with equities as the underlying must be based on the delta-weighted positions included in the measurement of specific and general risks in accordance with Part 6.5. (equity position risk).
(2) An Islamic banking business firm that writes options must calculate the capital charge for options on foreign exchange and gold and silver positions in accordance with Part 6.2 (foreign exchange risk). For delta risk, the net delta-based equivalent of the foreign currency, gold and silver options must be included in the measurement of the exposure for the respective currency, gold or silver position.
(3) The capital charge for an option on commodities must be based on the charge calculated using the simplified approach in rule 6.4.6.
|Derived from QFCRA RM/2015-2 (as from 1st January 2016).|