Tag: Standard Initial Margin Model
IM calculation change imminent-ish
There is mounting pressure to revisit a fundamental aspect of the IM calculation methodology. The BCBS-IOSCO 2015 framework mandates an IM determination based on a 99% VAR over a fixed 10 day liquidation horizon[1]. ISDA have published a paper by Professor Rama Cont, Chair of Mathematical Finance at Imperial College London, which advocates for a […]
ISDA Publishes Initial Thoughts on SIMM
On 2 September 2013, the Basel Committee on Banking Supervision (“BCBS”) and the International Organization of Securities Commissions (“IOSCO”) published their final policy document regarding “Margin requirements for non-centrally cleared derivatives” (see this blog post for more detail). Under the guidance, firms will be required to exchange initial margin (IM) on a gross basis. In […]