Questions tagged [isda-simm]
ISDA Standard Initial Margin Model (SIMM)
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PV01: bumping all tenors along the curve or only a tenor at a time?
Item 22 from this ISDA SIMM 2.3 document gives the following definition for the PV01 of an instrument $i$ with respect to the tenor $t$:
$$s(i, r_t) = V_i(r_t+1bp, cs_t) - V_i(r_t, cs_t)$$
where $r_t$ ...
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Delta sensitivity calculation according to SIMM
According to this article, in the ISDA SIMM methodology, the delta sensitivity for interest rate products is calculated using
$$ \text{delta} = \frac{V (x + 1 \text{bp}) - V (x - 1 \text{bp})}{2} $$
...
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What is the usual timing of IM calculation (same day 4pm, COB, COB +x hours etc)? What is the range on the market?
Question as above regarding ISDA standard initial margin model. Are there any technical limitations to calculate margin for various risk classes (i.e. wait for end of tay trading book data)?
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Margin Requirement model for CCP and non-central cleared OTC derivatives
What the models for computing margin requirement for central counterparty (CCP) and non-central cleared OTC derivatives.
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what is a simple parametric VaR approach that can be used to compare with ISDA SIMM results?
i am looking for a simple parametric VaR approach that includes vega and/or gamma.
i am not sure if to choose a non symmetric distribution for the pnl, what would people use, perhaps some shifted ...
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ISDA SIMM swap sensitivities
Most of the commercial SIMM models require sensitivities to be passed in in CRIF format. The documentation mentions that "par sensitivities" need to be used. What exactly is a par sensitivity? When we ...
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