| 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. |