Thu, Nov 15, 2018Event Details for ISDA SIMM™ Training – Non-Technical Workshop Register Now for ISDA SIMM™ Training – Non-Technical Workshop
This workshop provides a background and the basics for understanding the ISDA SIMM methodology, its implementation and use.
3 CPD Credit Hours Available (England and Wales)
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Monday, November 19, 2018Download Agenda ISDA SIMM™ Training – Non-Technical Workshop for
8:30 AM Registration and Continental Breakfast
9:15 AM Introduction and Welcoming Remarks Silke Borgs, Tara Kruse
Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA
9:30 AM Initial Margin (IM) Requirements for Non-cleared Derivatives Nnamdi Okaeme
- BCBS 317 – Principle 3: Methodologies for the Calculation of IM
- IM Schedule – Requirements and IM Calculation
- Quantitative IM Model - Requirements
10:00 AM ISDA SIMM - Background Eduardo Epperlein
- The industry’s need for a standard quantitative model
- Sensitivity-based 99% 10-day approach
- Summary of how SIMM meets regulatory requirements across jurisdictions
10:30 AM Derivatives Risk Martin Baxter, Nnamdi Okaeme
- Risk Factors
- Risk Sensitivities
- Modelling Risk in Derivative Contracts
Nnamdi Okaeme, Director, Risk and Capital, ISDA
11:00 AM Coffee Break
11:15 AM ISDA SIMM – Methodology and Calculation Martin Baxter
- Description of the ISDA SIMM
- Example to illustrate calculation using methodology
- Comparison of Initial Margin from SIMM versus schedule
12:15 PM Reconciling Initial Margin Differences Alistair Smith
- Agreeing IM method in Collateral Agreements
- Sources of IM differences
- Approach to reconciling IM differences
- Reporting Reconciliation Issues
12:45 PM Workshop Concludes
VenueBack to Top
Steigenberger Hotel Metroplitan, Poststraße 6, 60329 Frankfurt am Main, Germany, +49 69 5060700
SpeakersBack to Top
Managing Director, Global Head of Risk Methodology
Global Head of Infrastructure, Data and Non-Cleared Margin
Director, Risk and Capital
Managing Director, Head of Collateralised Risk & Margin
PricingBack to Top
Registration fee is for one person to attend the entire event. Pass may not be split between multiple attendees.
Groups of three or more attendees from the same firm can receive a 20% discount on event registrations. To register your group, please email email@example.com
Member $250 U.S.
Non-Member $300 U.S.
Course LevelBack to Top
Some knowledge of derivatives is assumed. No advance preparation is required.
AccreditationBack to Top
ISDA is an accredited provider of continuing education credits by the following organizations:
ISDA has been certified by the New York State Continuing Legal Education Board as an Accredited Provider of continuing legal education in the state of New York.
ISDA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors: 150 Fourth Avenue North, Suite 700, Nashville, TN 37219-2417. www.nasba.org
ContactBack to Top
ISDA SIMM™ is a registered trademark of the International Swaps and Derivatives Association, Inc. (ISDA). Market participants or service providers wishing to license ISDA SIMM or other ISDA intellectual Property should contact firstname.lastname@example.org.