How to Use
Value at Risk (VaR) Margin
For the purpose of VaR margin all securities are classified into three groups
For the securities listed in Group I, scrip wise daily volatility calculated using the exponentially weighted moving average methodology is applied to daily returns. The scrip wise daily VaR is 3.5 times the volatility so calculated subject to a minimum of 7.5%.
For the securities listed in Group II, the VaR margin is higher of scrip VaR (3.5 sigma) or three times the index VaR, and it is scaled up by root 3.
For the securities listed in Group III the VaR margin is equal to five times the index VaR and scaled up by root 3.
The index VaR, for the purpose, is the higher of the daily Index VaR based on CNX NIFTY or BSE SENSEX, subject to a minimum of 5%.
Extreme Loss Margin
The Extreme Loss Margin for any security is higher of:5%, or1.5 times the standard deviation of daily logarithmic returns of the security price in the last six months. This computation is done at the end of each month by taking the price data on a rolling basis for the past six months and the resulting value is applicable for the next month.