Video: What you need to know about calculating SIMM

Video: What you need to know about calculating SIMM
28th May 2019 Marc Henrard

Calculating sensitivities for SIMM is one of the toughest challenges created by uncleared margin rules.

Myself and our Head of Product Specialists, Veeral Manek, hosted a webinar covering the technicalities of calculating SIMM end-to-end. Watch our recording to be sure that your methodology is generating accurate figures.

What you can learn:

  • Understand how UMR will impact your firm.
  • Master the key practices for dealing with UMR.
  • Examine the pros and cons of SIMM vs Grid.
  • Learn the details of SIMM methodology: risk factors and classes.
  • Find out how to generate sensitivities properly in CRIF.
  • Learn how market data needs to be calibrated for SIMM sensitivities, specifically for XCCY risk and inflation.
  • Understand the model impact on delta and vega sensitivities.

Watch now


We’ve created a SIMM sensitivities calculator to ensure that you are generating accurate figures. Find out more here >