ISDA has published the ISDA SIMM™ Methodology, version 2.2, with an Effective Date of December 1, 2019. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. It also includes additional granularity for the FX asset class, the removal of curvature margin from equity volatility indexes and an alteration to allow for annual calibration of credit non-qualifying intra-bucket correlations.
Documents (1) for ISDA Publishes ISDA SIMM™ v2.2
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