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Sebi tweaks stress test methodology for commodity derivatives

Press Trust of India  |  New Delhi 

Sebi today modified the methodology for daily for derivatives as part of strengthening the risk management system.

Clearing corporations carry out stress tests to evaluate risks and possible impact on the in various scenarios for derivatives segment.

In a circular, Sebi said the methodology is being modified in light of the different features and concerns of derivatives markets.

"... it has also been decided to prescribe modified standardised scenarios and methodology for carrying out daily for credit risk for commodity derivatives," the circular said.

Further, the regulator has asked clearing corporations to use the modified method for carrying out the daily stress tests within three months.

The stress test pertains to Minimum Required Corpus (MRC) of core (SGF).

The regulator has fixed minimum threshold value of MRC

for commodity derivatives segment of any stock exchanges at Rs at Rs 10 crore.

(This story has not been edited by Business Standard staff and is auto-generated from a syndicated feed.)

First Published: Wed, July 11 2018. 21:40 IST