Review of inclusion of Historical Scenarios in Stress Testing in Commodity Derivatives Segment

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..... Sub: Review of inclusion of Historical Scenarios in Stress Testing in Commodity Derivatives Segment 1. SEBI vide Circular SEBI/HO/CDMRD/DRMP/CIR/P/2018/111 dated July 11, 2018 and SEBI/HO/CDMRD/DRMP/CIR/P/2020/128 dated July 21, 2020 , inter alia, had prescribed norms related to Stress Testing for the commodity derivatives segment, which included norms regarding historical scenarios. 2 .....

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..... of Annexure to the SEBI Circular SEBI/HO/CDMRD/DRMP/ CIR/P/2018/111 dated July 11, 2018 with a view to address the concerns emanating from exceptional and extreme volatile price events:- Price movements corresponding to a Z-score of 10 will replace extreme price movements beyond that threshold in peak historical returns of all the commodities. Mean and sigma of returns over the applicable .....

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