1
$\begingroup$

I'm reading and trying to understand TIMS and SPAN methodologies for margin calculations. In the internet I found these 2 great resources and that's what I'm using to get familiar with things:

  1. TIMS
  2. SPAN

I would like to know if there are any academic textbooks that dedicate a section or the entirety of such book to these topics. Or if there are other good materials out there, I know this search on google returns some results, but I believe the resources in the link are by far the best I've encountered so far and I'm not sure if that's all there is.

Thanks for any help in advance!

Improve this question
$\endgroup$
1
  • $\begingroup$ Your SPAN document is from 1999, National Futures Association must have some more recent documents I would imagine. $\endgroup$
    – nbbo2
    Commented Jul 14, 2020 at 4:52

1 Answer 1

Reset to default
2
$\begingroup$

There are many margins, you have to be more specific. Are you interested in CCP (Counterparty Clearing House) margin, OTC products margin? The former are CCP-specific, and the latter are governed by the SIMM ISDA model.

Improve this answer
$\endgroup$
1
  • $\begingroup$ Hello @danp! Thanks for replying. The post is really about TIMS and SPAN, so I was being specific about these two. Now, are these two related to CCP or OTC? Well, that I didn't knew. I don't know many brokers, but the little I've seen, use a risk model based on TIMS, so I want to know about this or SPAN (used for Futures as well). Thanks for your attention! $\endgroup$
    – Aquiles Páez
    Commented Jul 18, 2020 at 15:52

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.