Head of Product
Head of Quantitative Research
Calculating sensitivities for SIMM is one of the toughest challenges created by uncleared margin rules.
Each counterparty must generate sensitivities for every trade captured, requiring huge amounts of market data, and sensitivities need to be transformed into CRIF format.
Initial margin (IM) must also be calculated using a licensed version of ISDA’s SIMM methodology. The calculated IM must be validated with each counterparty’s independently calculated IM on a daily basis.
Add on the need to identify all margin shortfalls (using historical portfolio level P&L analysis) and it’s unsurprising that even the most sophisticated firms are failing to calculate sensitivities correctly.
OpenGamma’s Head of Product, Veeral Manek, and our Head of Quantitative Research, Marc Henrard, 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.