The RMC model: a novel margining system for Indian equity markets

Abstract

This report proposes a novel margining system for the Indian stock markets. The Rolling Margin Calculator (RMC) model developed by the author builds on the existing margin system to ensure better liquidity and volatility management without increasing risk. The report gives the description of the RMC model and the rationale behind it. The model was tested against the index prices observed over the past two years and the results of the tests are also presented.