Sense and sensitivities: Isda Simm is not so simple

Three industry experts argue the Simm won't work without centralised calibration of sensitivities

The initial margin framework needs to function smoothly in stressed markets

In this article, Claudio Albanese, Oliver Frankel and Steve White discuss the challenges posed by the September phase-in of the global non-cleared derivatives margin regime – in particular, the calculation and calibration of portfolio sensitivities that will be required for the Isda Simm. The authors are board members of IMEX Synchronised Risk, which acts as a hub for the calculation of sensitivities.

With a month to go before the start of the bilateral margin regime for non-cleared derivatives

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