Sense and sensitivities: Isda Simm is not so simple

Three industry experts argue initial margin calculations for uncleared trades won't work without centralised calibration of sensitivities

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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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