Questions tagged [isda-simm]

ISDA Standard Initial Margin Model (SIMM)

Filter by
Sorted by
Tagged with
3
votes
2answers
503 views

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 ...