Stress testing cap for extreme commodity price movements replaces outliers beyond a high z-score using long term mean and sigma. SEBI amends stress-testing norms for commodity derivatives to cap extreme historical price returns by replacing returns beyond a Z-score of 10 with the Z-score-10 movement; the Z-score is computed using mean and sigma of returns over the applicable MPOR across a 15-year period. This measure addresses exceptional volatile price events and is effective on issuance.
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Stress testing cap for extreme commodity price movements replaces outliers beyond a high z-score using long term mean and sigma.
SEBI amends stress-testing norms for commodity derivatives to cap extreme historical price returns by replacing returns beyond a Z-score of 10 with the Z-score-10 movement; the Z-score is computed using mean and sigma of returns over the applicable MPOR across a 15-year period. This measure addresses exceptional volatile price events and is effective on issuance.
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