Risk containment in the Rolling settlement

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.... of risk containment system based on Value At Risk (VaR) margin in the rolling settlement. Pursuant to the discussions, the following decisions were taken: 1. Margins based on VaR a. For the scrips in the compulsory rolling settlement, the 99% VaR based margin system would be introduced with effect from July 02, 2001 in the following manner: • For the additional 251 scrips which will be included in the compulsory rolling settlement with effect from July 02, 2001 and 15 scrips (out of 163 scrips already in compulsory rolling settlement) having the facility of CNS,CFRS, ALBRS, BLESS, exchanges will calculate scrip wise VaR and index based VaR as indicated below and apply the higher of the two as the margin percentage:....

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....he VaR calculations will be based either on BSE Sensex or S & P CNX Nifty and would be disseminated by the BSE and NSE daily on .their websites by 6:30 pm in a downloadable format. c. Other stock exchanges could make their own VaR calculations based on BSE Sensex and S&P CNX Nifty or freely adopt the VaR calculations available on the sites of BSE and NSE. It will be mandatory for BSE/NSE to provide real time Sensex/Nifty data free. It will also be mandatory for all the stock exchanges to have real time information of Sensex/Nifty data either from the respective exchange or through a vendor. d. The VaR based margin would be capped at 100% e. The VaR based margin calculated by an exchange at the end of the day would be used for the p....