SEBI Cuts Z-Score Threshold For Commodity Derivatives Stress Tests From 10 To 5
The Securities and Exchange Board of India (SEBI) has reduced the Z-score threshold used in stress testing for commodity derivatives from 10 to 5. The change, effective immediately, is aimed at easing compliance requirements and improving capital efficiency for market participants. Under the earlier framework, price movements beyond a Z-score of 10 in the peak historical returns of commodities…
We haven't written up this one. Free Press Journal has the full story — the link below goes straight to it.
