Sense and sensitivities: Isda Simm is not so simple
Three industry experts argue the Simm won't work without centralised calibration of sensitivities
In this article, Claudio Albanese, Oliver Frankel and Steve White discuss the challenges posed by the September phase-in of the global non-cleared derivatives margin regime – in particular, the calculation and calibration of portfolio sensitivities that will be required for the Isda Simm. The authors are board members of IMEX Synchronised Risk, which acts as a hub for the calculation of sensitivities.
With a month to go before the start of the bilateral margin regime for non-cleared derivatives
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Funds tap options on FX vol amid tariff disruptions
Dealers say vanillas, digitals and knockouts on realised vol increasingly used to navigate Trump news flow
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift
Hedge funds could look to bypass UST clearing mandate
New paper argues that repo users might relocate offshore or use other means to avoid US Treasury clearing dragnet
EU bond-futures basis flip spells curtains for netting
Alignment with US positions brings higher balance sheet usage, while low returns also a turn-off say traders
Corporates eye complex FX hedges as carry costs mount
Leveraged forwards and options-based structures entice treasurers facing rates uncertainty and FX volatility
TD’s prop-style trading shop rises up bond rankings
Ascent of bank’s bond trading business comes amid electronification changes in US fixed income market structure
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown
Reverse dispersion gains traction as implied spread jumps
Inverted strategy on Euro Stoxx 50 gains popularity for profit-taking and correlation play
