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Technical Developments of ISDA SIMM™ Model

 


Wednesday, November 15, 2017
One Bishops Square
London

PROGRAM AGENDA

 

8:15 AM

 

Registration and Continental Breakfast

 

 

 

9:00 AM

 

Introduction and Welcoming Remarks

 

 

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

 

 

 

9:15 AM

 

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

 

 

 

9:45 AM

 

 ISDA SIMM Calculation

 

 

  • Outline approach
  • Methodology
  • Simple example

 

 

 

10:40 AM

 

 ISDA SIMM Model Implementation

 

 

  • Inputs
  • Crowdsourcing Utility
  • Explicit example

 

 

 

 11:30 AM

 

Coffee Break

 

 

 

11:45 AM

 

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

 

 

 

12:45 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.

 

Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here.
You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.


 

 


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