October 22, 2020

Initial Margin Regulations

In response to the financial crisis, non-centrally cleared over-the-counter (OTC) derivatives are subject to margin requirements. While the Standardized Approach is easy to implement, the Internal Model Approach entails an intensive effort from data managers. ISDA introduced the Standard Initial Margin Model SIMM) that has become standard for initial margin calculations all around the world. One of the key learning outcomes from the series Mastering OTC Derivatives is how to master the data challenge: feeding the SIMM calculation engines with the complete and correct data set.

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