2021/10/25 by Asif Lakhany, Lakhany, Asif, Amber Zhang +1
Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #G.1.2 #I.2.6 #Risk Management (q-fin.RM) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2110.13296
openalex publication_date 2021/10/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Non-cleared bilateral OTC derivatives between two financial firms or systemically important non-financial entities are subject to regulations that require the posting of initial and variation margin. The ISDA standard approach (SIMM) provides a way for computing the initial margin. It involves computing sensitivities of the contracts with respect to several market factors. In this paper, the authors extend the well known LSMC technique to efficiently estimate the sensitivities required in the ISDA SIMM methodology.