Article 325s
Vega risk sensitivities
Institutions shall calculate the vega risk sensitivity of an option to a given risk factor k as follows:
where:
sk |
= |
the vega risk sensitivity of an option; |
k |
= |
a specific vega risk factor, consisting of an implied volatility; |
volk |
= |
the value of that risk factor, which should be expressed as a percentage; and |
x,y |
= |
risk factors other than volk in the pricing function Vi. |