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Sebi tweaks stress test methodology for commodity derivatives

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Press Trust of India New Delhi

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

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

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

"... it has also been decided to prescribe modified standardised stress testing scenarios and methodology for carrying out daily stress testing 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 Settlement Guarantee Fund (SGF).

The regulator has fixed minimum threshold value of MRC

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

Disclaimer: No Business Standard Journalist was involved in creation of this content

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First Published: Jul 11 2018 | 9:40 PM IST

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