| Comment |
Annex I point 5, third sub-paragraph of Directive 2006/49/EC. "It includes the additional capital requirement for other risks,
apart from delta risk, associated with options (i.e. gamma and vega risks). This additional capital requirement may be assessed
by different approaches (e.g. Simplified, Delta-plus or Scenario approaches referred to in Part A.5 of the Amendment to the
Basel Capital Accord to Incorporate Market Risks, January 1996) and, as usually, it may be broken down into the different
approaches aplicable if considered necessary by local supervisors."
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