value at risk
This query is : Resolved
04 February 2008
wht do we meAN by Value at risk margin and extreme loss margin ?
how do we calculate such?
how do we read such
how do we calculate such?
how do we read such
11 July 2010
The VaR Margin is a margin intended to cover the largest loss that can be encountered on 99% of the days (99% Value at Risk). For liquid stocks, the margin covers one-day losses while for illiquid stocks, it covers three-day losses so as to allow the Exchange to liquidate the position over three days. This leads to a scaling factor of square root of three for illiquid stocks.
11 July 2010
VaR Margin
Liquid Securities (Group I)
Scrip VaR
1.00
Scrip VaR
Less Liquid Securities (Group II)
Higher of Scrip VaR and three times Index VaR
1.73
(square root of 3.00)
Higher of 1.73 times Scrip VaR and 5.20 times Index VaR
Illiquid Securities (Group III)
Five times Index VaR
1.73
(square root of 3.00)
8.66 times Index VaR
b) The VaR margin is collected on an upfront basis by adjusting against the total liquid assets of the member at the time of trade.
c) The VaR margin is collected on the gross open position of the member. The gross open position for this purpose is the gross of all net positions across all the clients of a member including his proprietary position.
d) For this purpose, there would be no netting of positions across different settlements.
e) Dissemination of Information :
The VaR amount applicable in respect of the scrips would be disseminated on the website of the Exchange on a daily basis.
Liquid Securities (Group I)
Scrip VaR
1.00
Scrip VaR
Less Liquid Securities (Group II)
Higher of Scrip VaR and three times Index VaR
1.73
(square root of 3.00)
Higher of 1.73 times Scrip VaR and 5.20 times Index VaR
Illiquid Securities (Group III)
Five times Index VaR
1.73
(square root of 3.00)
8.66 times Index VaR
b) The VaR margin is collected on an upfront basis by adjusting against the total liquid assets of the member at the time of trade.
c) The VaR margin is collected on the gross open position of the member. The gross open position for this purpose is the gross of all net positions across all the clients of a member including his proprietary position.
d) For this purpose, there would be no netting of positions across different settlements.
e) Dissemination of Information :
The VaR amount applicable in respect of the scrips would be disseminated on the website of the Exchange on a daily basis.
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