ISDA Publishes ISDA SIMM™ 2.0

ISDA has published the ISDA SIMM™ Methodology, version 2.0, with an Effective Date of December 4, 2017. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. It also includes new risk factors for equity volatility indices, quanto CDS, and municipal swaps, as well as enhancements for vega and a separate risk weight bucket for commodity indexes.

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Episode 51: Trading Places

Markets have been volatile so far this year, but what has this meant for market liquidity? The Swap talks to Chris Edmonds from Intercontinental Exchange on trading activity and the market, economic and geopolitical outlook. Please view this page via...