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

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..... istorical 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. In light of an unprecedented event of .....

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..... RD/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 MPOR period across 15 years would be used for cal .....

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