ISDA has published the ISDA SIMM™ Methodology, version 2.0, with an Effective Date of December 4, 2017. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. It also includes new risk factors for equity volatility indices, quanto CDS, and municipal swaps, as well as enhancements for vega and a separate risk weight bucket for commodity indexes.
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Please enter your name and email below in order to watch this video. [If you have an isda.org account and are logged in, just confirm that the details shown are correct.] Thank you! [contact-form-7 id="1240087" title="Webinar: Using AI and the...