SEBI reviews inclusion of Historical Scenarios in Stress Testing in Commodity Derivatives Segment

With a view to address concerns emanating from exceptional and extreme volatile price events, SEBI has decided to insert Para ‘1’ of Part ‘A’ of Annexure to Circular SEBI/HO/CDMRD/DRMP/ CIR/P/2018/111 dated 11.07.2018:- “Price movements corresponding to a Z-score of 10 will replace extreme price movements beyond that threshold in peak historical returns of al the commodities. Mean and sigma of returns over the applicable MPOR period across 15 years would be used for calculation of the Z-score.With a view to address concerns emanating from exceptional and extreme volatile price events, SEBI has decided to insert Para ‘1’ of Part ‘A’ of Annexure to Circular SEBI/HO/CDMRD/DRMP/ CIR/P/2018/111 dated 11.07.2018:- “Price movements corresponding to a Z-score of 10 will replace extreme price movements beyond that threshold in peak historical returns of al the commodities. Mean and sigma of returns over the applicable MPOR period across 15 years would be used for calculation of the Z-score.taxmann.com Latest Statutory HappeningsRead More

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