A case for smarter MPOR framework design: Dr. Sumit Saurav and Dr. Sankarshan Basu

Writing for Outlook Business, Dr. Sumit Saurav and Dr. Sankarshan Basu from IIMB’s Finance & Accounting area, examine a blind spot in India’s commodity derivatives market when it comes to how risk is measured and at what cost.

In the piece ‘Why Margin Period of Risk Estimation in Commodities Derivatives Market Deserves a Review’, they opine that the current Margin Period of Risk (MPOR) framework relies too heavily on price volatility, overlooking liquidity as an important determinant of how quickly positions can be unwound.