Isda Simm
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
Third firm joins race to solve IM ‘big bang’
Margin utility AcadiaSoft will create docs for users, but also connect with rival services
Industry calls for 12-fold hike in margin threshold
Request to regulators would permanently exempt almost 1,000 firms from non-cleared margin rules
Dealers warn Asia: get ready now for 2020 IM deadline
Firms preparing to post margin in September 2020 need to complete systems by March 2019
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge
Is AD the answer to quicker MVA calculation?
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Podcast: Antonov on MVA, algorithmic differentiation and model validation
StanChart quant proposes new technique to compute MVA quicker
Efficient Simm-MVA calculations for callable exotics
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Hong Kong banks fear clashing swaps margin rules
SFC proposal could complicate trades with HKMA-regulated entities and centralised treasuries
Isda faces member backlash on margin lobbying
Working groups were not consulted over Isda-funded paper that could threaten industry’s Simm
CFTC, Treasury officials boost Isda push for IM revamp
Isda AGM: Research paid for by trade body calls for variable MPOR
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Non-cleared swaps compression battle heats up
Quantile, LMRKTS, Capitalab and triBalance jostle for supremacy in IM optimisation
Harnessing new technology
Sponsored Q&A: Risk Technology Rankings 2016 | Murex
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
Stretched margins: growing pains for Simm
The standard initial margin model could become more strained as its use expands in 2017
Non-cleared margin – a timeline
Milestones in the development of margin requirements for non-cleared trades
Industry friction on initial margin model backtesting
NFA said to have set 10-day standard; other regulators applying different approach
Industry faces crunch time on Simm enhancements
If the required new risk factors are not added on time, firms may face a more punitive look-up grid