Securities Exchange Board of India's (Sebi) group on risk management systems for the equity markets, which met today to review and to discuss various issues relating to the risk management systems in the market, has decided to form a sub-group to look into various issues relating to the value at risk-based margining system.
The group reviewed the implementation of the VaR based margins in the equity markets and discussed various issues relating to the VaR based margining system. The group was of the view that the margins in some cases were on the higher side. Issues relating to the manner of calculation of VaR, applicability and the collection of margins were also raised. These issues however needed a focussed view and it was decided that a sub-group consisting of Prof. J R Varma , Pratip Kar, Ravi Narain - managing director ,NSE, Manoj Vaish - deputy executive director BSE and Praveen Mohnot - managing director -OTCEI would look into the issues relating to the VaR based margining system. The sub-group would submit the report within fifteen days.
