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!

  • $\begingroup$ Your SPAN document is from 1999, National Futures Association must have some more recent documents I would imagine. $\endgroup$ – noob2 Jul 14 '20 at 4:52

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.

  • $\begingroup$ 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 Jul 18 '20 at 15:52

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