SERVING THE QUANTITATIVE FINANCE COMMUNITY

ankitabhu2cqf
Topic Author
Posts: 1
Joined: November 16th, 2018, 3:16 pm

### efficient ways to reduce IM for swaptions

one of the ways is to reduce delta through cleared derivatives or vanilla swaps as IM as per SIMM model from isda has high delta weight age .
but are there more efficient ways (maybe synthetic ?)