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Standard Initial Margin Model (SIMM) Computation

Initial Margin (IM) is the amount of collateral required to open a position with a broker or an exchange or a bank. The Standard Initial Margin Model (SIMM) is very likely to become the market standard. It is designed to provide a common methodology for calculating initial margin for uncleared OTC derivatives. Given this standardized approach, counterparties can easily reconcile the results. This presentation provides many practical details of the SIMM. You can find more information at http://www.finpricing.com/paperList.html

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