Dynamic sensitivities and Initial Margin via Chebyshev Tensors

2020/11/09 by M. Zeron, Ignacio Ruiz, Zeron, Mariano +1
Economics, Econometrics and Finance · #Credit Risk and Financial Regulations #FOS: Economics and business #Monetary Policy and Economic Impact #Risk Management (q-fin.RM) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2011.04544

openalex publication_date 2020/11/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper presents how to use Chebyshev Tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. Dynamic sensitivities are then used to compute Dynamic Initial Margin as defined by ISDA (SIMM). The technique is benchmarked against the computation of dynamic sensitivities obtained by using pricing functions like the ones found in risk engines. We obtain high accuracy and computational gains for FX swaps and Spread Options.

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