Sense and sensitivities: Isda Simm is not so simple
Three industry experts argue the Simm won't work without centralised calibration of sensitivities
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
DTCC ‘will prevail’ in UST clearing, says CME’s Duffy
CME boss says LCH-FMX cross-margining deal could face obstacles, and acknowledges difficulties at BrokerTec
FX data champion outlines transparency push
Stuart Simmons, new head of GFXC working group, wants trading platforms to come clean on how they use client data
Dealer relief at delays to Refinitiv Matching’s tech migration
First phase of replatforming for Swiss spot pairs set to be pushed to mid-2025
Rates traders brace for jobs data after August steepener payday
Investors hope for weaker-than-expected non-farm payrolls to trigger re-steepening
Jane Street ups its game in FX market-making
High-frequency trading firm now streaming bilateral spot FX liquidity to clients
Triggers of August market ‘flare-up’ still in place, BIS warns
Leveraged positions remain at risk of sudden unwinding, as margin calls play amplifying role
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
FX forwards dealers face added challenges in P&L analysis
Mark-out tools for forwards and swaps trading may not be a panacea
