Historical-scenario stress testing for commodity derivatives now caps extreme peak historical price movements at the level corresponding to a Z-score of 5, replacing the previous Z-score threshold of 10. The cap applies to maximum percentage price rises and falls over the applicable margin period of risk, using the mean and standard deviation of returns across the preceding 15 years for Z-score calculation. Recognised clearing corporations with commodity derivatives segments must apply the revised stress-testing parameter with immediate effect.
Historical-scenario stress testing for commodity derivatives now caps extreme peak historical price movements at the level corresponding to a Z-score of 5, replacing the previous Z-score threshold of 10. The cap applies to maximum percentage price rises and falls over the applicable margin period of risk, using the mean and standard deviation of returns across the preceding 15 years for Z-score calculation. Recognised clearing corporations with commodity derivatives segments must apply the revised stress-testing parameter with immediate effect.
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