PET - Plain English Taxonomy

Name: MarketRiskMeasureMethodDimension
Label: Market Risk Measure Method
TREF ID: DM396
Type: Predefined
Description:
This dimension categorises information reported based on the market risk measurement method used to calculate capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards.
Usage:

Dimension Members
Name Label TREF ID Description
ContingentLossMethod Contingent Loss Method DV4107
The information reported has been determined using the contingent loss approach to measuring market risk, in accordance with relevant prudential standards.The contingent loss method uses simulation techniques to calculate capital charge of an option portfolio for changes in the level and volatility of the prices of its associated underlyings. Under this approach, the capital charge is determined by the largest loss produced by a scenario 'matrix' (i.e. a specified combination of underlying asset price and volatility changes).
DeltaPlusMethod Delta Plus Method DV4108
The information reported has been determined using the delta-plus approach to measuring market risk, in accordance with relevant prudential standards.The delta-plus method uses the sensitivity parameters associated with options to measure their market risk capital requirements. Under this method, the delta-equivalent position of each option becomes part of the standard methodology, with the delta-equivalent amount subject to the applicable general market risk charges.Entities using this method must first calculate delta-equivalent position of each option by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position.
MaturityLadderMethod Maturity Ladder Method DV4104
The information reported has been determined using the maturity ladder approach to measuring market risk, in accordance with relevant prudential standards.
SimplifiedMethod Simplified Method DV4105
The information reported has been determined using the simplified approach to measuring market risk, in accordance with relevant prudential standards.
ValueAtRiskMethod Value At Risk Method DV4106
The information reported has been determined using the value at risk approach to measuring market risk, in accordance with relevant prudential standards.