ISDA has published the ISDA SIMM™ Methodology, version 2.1, with an Effective Date of December 1, 2018. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. It also includes a calibrated historical volatility ratio for the interest rate asset class.
Documents (1) for ISDA Publishes ISDA SIMM™ 2.1
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