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ISDA SIMM™ Framework for Non-Risk Professionals

7.5 CLE Credit Hours Available (New York)
Transitional and Nontransitional Credit

 

7.5 CPE Credit Hours Available


Tuesday, November 7, 2017
ISDA Conference Center
New York

PROGRAM AGENDA

8:15 AM

 

Registration and Continental Breakfast

 

 

 

8:45 AM

 

Introduction and Welcoming Remarks

 

 

 

9:00 AM

 

Derivatives Risk

  • Risk Factors and Sensitivities
  • Modelling Risks in Derivative Contracts
  • Trading Derivatives – Markets, Processes and Associated Risks

 

 

 

9:45 AM

 

Initial Margin Requirements for Non-cleared derivatives

  • BCBS 317 – Principle 3: Methodologies for the Calculation of Initial Margin (IM)
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM Model – Requirements

 

 

 

10:45 AM

 

Morning Break

 

 

 

11:00 AM

 

ISDA SIMM Calculation

  • Description of the ISDA SIMM
  • Methodology
  • Simple example to illustrate calculation using methodology

 

 

 

12:00 PM

 

ISDA SIMM Model Implementation

  • Inputs
  • Crowdsourcing Utility
  • Detailed example
  • ISDA SIMM vs. IM Schedule

 

 

 

1:00 PM

 

Luncheon

 

 

 

2:00 PM

 

ISDA SIMM Model Usage

  • Phase-in Requirements for Covered Entities
  • Obtaining Licences for SIMM
  • Implementing and Testing SIMM
  • Getting Regulatory Approval for SIMM

 

 

 

3:00 PM

 

ISDA SIMM Dispute Resolution

  • Dispute Resolution in the context of regulatory Initial Margin
  • Agreeing dispute resolution provisions
  • Reasons for disagreement over IM calculated using SIMM

 

 

 

3:45 PM

 

Afternoon Break

 

 

 

4:00 PM

 

ISDA SIMM Governance

  • Global ISDA SIMM Governance and Development
  • Firm Level Portfolio Monitoring and Risk Remediation
  • Escalation Procedures for issues related to SIMM

 

 

 

5:00 PM

 

Conference Concludes


Agenda is subject to change

- REGISTRATION FEE* -
$ 850 U.S. (member) / $ 975 U.S. (non-member)
*The invoice total must be paid in full - registration fees are net of tax and wire transfer fees are not included.

We suggest registering at least two weeks in advance to ensure your seat.

Please click here for the Conference Registration Form.

 

ISDA Conference Center, 10 East 53rd Street (entrance on 52nd and 53rd Street), 8th Floor, New York, NY 10022, Phone: +1 (212) 901-6000. Please find a map to the venue here.

 


ISDA SIMMTM is a registered trademark of the International Swaps and Derivatives Association, Inc. (ISDA).
Market participants or service providers wishing to license ISDA SIMM or other ISDA intellectual Property should contact isdalegal@isda.org


For more information regarding conferences or exhibition opportunities, please contact the ISDA conference department

at +1 212-901-6000  or e-mail conferences@isda.org