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Technical Developments of ISDA SIMM™ Model

3.5 CPE Credit Hours Available


Wednesday, November 8, 2017
ISDA Conference Center
New York

PROGRAM AGENDA

12:00 PM

 

Registration and Luncheon

 

 

 

1:00 PM

 

Introduction and Welcoming Remarks

 

 

Tara Kruse, Head of ISDA Non-Cleared Margin Initiative, ISDA

 

 

 

1:15 PM 

 

ISDA SIMM Background

 

 

  • Regulatory requirements on the function of a quantitative IM model
  • Addressing these regulatory requirements using SIMM
    • The Sensitivity Based Approach, 99% 10-day approach
    • The Model Sensitivities
    • The Model Parameters

 

 

Tomo Kodama, Managing Director, Bank of America Merrill Lynch

 

 

 

1:45 PM 

 

 ISDA SIMM Calculation

 

 

  • Outline approach
  • Methodology
  • Simple example

 

 

 Mark Stedman, Managing Director, Credit Suisse

 

 

 

 

2:40 PM

 

 ISDA SIMM Model Implementation

 

 

  • Inputs
  • Crowdsourcing Utility
  • Explicit example

 

 

 

 3:30 PM

 

Coffee Break

 

 

 

3:45 PM

 

ISDA SIMM Model Governance and Maintenance

 

 

  • Regulatory Requirements on the ongoing use of Quantitative IM Models
  • SIMM Governance that satisfies these regulatory requirements
  • Calibration, Backtesting and Benchmarking
  • Monitoring and Reporting

 

 

Tomo Kodama, Managing Director, Bank of America Merrill Lynch

Tara Kruse, Head of ISDA Non-Cleared Margin Initiative, ISDA

 

 

 

 

4:45 PM

 

Conference Concludes

 


Agenda is subject to change

- REGISTRATION FEE* -
$ 400 U.S. (member) / $ 500 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