PET - Plain English Taxonomy

Name: DeltaPlusMethodImpactDimension
Label: Delta Plus Method Impact
TREF ID: DM422
Type: Predefined
Description:
This dimension categorises information reported under the delta-plus approach to measuring market risk, based on the impact (i.e. gamma or vega) calculated to form part of the capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards.
Usage:

Dimension Members
Name Label TREF ID Description
GammaImpact Gamma Impact DV4112
The information reported forms the capital charge for gamma impact of option positions in accordance with relevant prudential standards.Gamma impact = 1/2  x  gamma  x  (VU)2
VegaImpact Vega Impact DV4111
The information reported forms the capital charge for vega impact of option positions, in accordance with relevant prudential standards.