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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
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Financial Markets Tribunal
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.6.10



Whole Section PDF

The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

To view past versions of this module in PDF format, please visit the Archive.

An Authorised FirmsG must calculate its Capital RequirementG for VegaG risk by:

(a) multiplying the sum of the VegasG for all option positions in respect of the same underlying financial instrument or commodity, as defined in the PIB Rule 5.6.8(c), by a proportional shift in volatility of ±25%; and
(b) aggregating the absolute value of the individual Capital RequirementsG which have been calculated for VegaG risk.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]