Historical stress-testing thresholds for commodity derivatives are lowered, capping extreme price movements at a Z-score of five.

Historical stress-testing thresholds for commodity derivatives are lowered, capping extreme price movements at a Z-score of five. https://www.taxtmi.com/highlights?id=102685 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. en-us Thu, 13 Aug 2026 18:28:54 +0530 Thu, 13 Aug 2026 18:28:54 +0530 TaxTMI RSS Generator Historical stress-testing thresholds for commodity derivatives are lowered, capping extreme price movements at a Z-score of five. https://www.taxtmi.com/highlights?id=102685 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. Highlights SEBI Thu, 13 Aug 2026 18:28:54 +0530 https://www.taxtmi.com/highlights?id=102685