+Article 325s 1.

Article 325s 1.

Institutions shall calculate the vega risk sensitivity of an option to a given risk factor k as follows:

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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.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards