SIMM

ISDA Publishes ISDA SIMM™ v2.2

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ISDA has published the ISDA SIMM™ Methodology, version 2.2, with an Effective Date of December 1, 2019. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.   It also includes additional granularity for the FX asset class, the removal of curvature margin from equity volatility indexes and an alteration to allow for annual calibration of credit non-qualifying intra-bucket correlations.

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Video: What you need to know about calculating SIMM

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Calculating sensitivities for SIMM is one of the toughest challenges created by uncleared margin rules. Myself and our Head of Product Specialists, Veeral Manek, hosted a webinar covering the technicalities of calculating SIMM end-to-end. Watch our recording to be sure that your methodology is generating accurate figures. What you can learn: Understand how UMR will impact your firm. Master the key […]

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Video: What you need to know about calculating SIMM

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1 View

Calculating sensitivities for SIMM is one of the toughest challenges created by uncleared margin rules. Myself and our Head of Product Specialists, Veeral Manek, hosted a webinar covering the technicalities of calculating SIMM end-to-end. Watch our recording to be sure that your methodology is generating accurate figures. What you can learn: Understand how UMR will impact your firm. Master the key […]

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ISDA Publishes ISDA SIMM™ 2.1

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ISDA has published the ISDA SIMM™ Methodology, version 2.1, with an Effective Date of December 1, 2018. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.   It also includes a calibrated historical volatility ratio for the interest rate asset class.

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ISDA Publishes ISDA SIMM™ 2.1

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ISDA has published the ISDA SIMM™ Methodology, version 2.1, with an Effective Date of December 1, 2018. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.   It also includes a calibrated historical volatility ratio for the interest rate asset class.

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