FINCAD: Calculating Margin under EMIR

Last week my colleague, Russell Goyder, PhD, discussed the Standard Initial Margin Model (SIMM), including three major challenges that firms encounter when calculating initial margin. If you missed the post, check it out, as Russell gives great insight into ways firms can easily overcome SIMM modeling challenges.

This week, I’m picking up on the SIMM topic where Russell left off. But I’ll be looking at it from a slightly different angle. I’ll frame the discussion by touching on some

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