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.