Isda Simm
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
LDI firms update margin stress tests post-gilt crisis
For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin
EU lawmakers converge on centralising Simm validation
Industry cautiously optimistic Council and Parliament will support EBA compromise
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
EU rulemakers lean towards Simm validation for dealers only
Council supports EBA proposal to narrow scope of rules, while parliament takes a tougher line
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
Margin for non-cleared European energy trades to jump 80%
Annual recalibration of Simm could catapult some energy firms over relief thresholds
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
Is stochastic cross-currency basis a better way to model IM?
Using Monte Carlo model extension for forward IM calculation avoids excessive outputs for MVA
Commodities threaten pain for initial margins
Market volatility and spot-based Simm approach may drive large margin spikes in little-tested asset class
Duck! Buy-side plan to dodge IM rules could backfire
Three-quarters of phase six firms do not expect to exchange margin for at least six months
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives in minutes rather than hours
Delays to IM model approvals causing ‘anxiety’ for MetLife
Isda AGM: US insurer says regulators unprepared to accept docs where model approval is obligatory
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
EU’s initial margin relief may come too late for phase five
Long-awaited easing of model governance requirements unlikely to take effect by September
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service