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A Guide to ISDA SIMM Calculations

What is ISDA SIMM? How do you go about calculating and using ISDA SIMM? Why does using ISDA SIMM matter?

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ISDA SIMM™ is one of the approved ways to calculate IM for UMR. This guide will introduce the background to how SIMM works including the flow of calculations. It will also explain the need for your firm to build or buy the capability to calculate IM using SIMM™.


ISDA SIMM™ - The Basics

How do you map your portfolio into SIMM™? The need for SIMM™ calibration, and the procedure to complete a SIMM™ calculation.


ISDA SIMM™ Calculation Flow

How is a CRIF file used? What are the required inputs to SIMM™, and the procedure for producing an IM figure.


Key Changes

How does SIMM™ affect your organisation? How do you acquire SIMM™ capability? What governance do you need around the model? How do you make all the necessary choices?


ISDA Proposals

A high level description of a proposal by ISDA to allow dealers to act as calculation agents for other firms needing SIMM™ And a brief update on the proposed new timing of UMR.

Author: MarginTonic

Author: Author: MarginTonic

MarginTonic is a boutique consultancy specialising in UMR