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RiskUser
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Posts: 301
Joined: July 19th, 2006, 4:30 pm

ISDA Standardised Initial Margin Model - Discuss?

April 20th, 2016, 1:20 pm

With bilateral margining rules kicking in, I for one am eager to hear the forums constructive views on this model.
 
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RiskUser
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Posts: 301
Joined: July 19th, 2006, 4:30 pm

Re: ISDA Standardised Initial Margin Model - Discuss?

August 11th, 2016, 9:38 am

 
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JuniorCredQuant
Posts: 8
Joined: November 3rd, 2011, 8:01 am

Re: ISDA Standardised Initial Margin Model - Discuss?

May 17th, 2019, 3:59 pm

working on implementation of sensitivity calculation for SIMM for wave 4 & 5. Has anyone come across guidance for OIS-discounted IBOR swaps. I.e. in order to generate IBOR-sensitivities for the floating leg, do practitioners generally shock the Discounting curve, when deriving the shocked forecast curve? Else is there a forum where technical q's on SIMM are discussed?
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