This workshop provides a background and the basics for understanding the ISDA SIMM methodology, its implementation and use.
3.5 CPD Credit Hours Available (England and Wales)
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Monday, June 24, 2019Print Agenda ISDA SIMM Training – Non-Technical Workshop for
12:30 PM Registration and Lunch
12:55 PM Introduction and Welcoming Remarks Tara Kruse
1:00 PM ISDA SIMM Background Nnamdi Okaeme
- The industry’s need for a standard quantitative model
- Sensitivity-based 99% 10-day approach
- Summary of how SIMM meets regulatory requirements across jurisdictions
1:30 PM ISDA SIMM Methodology and Calculation Nnamdi Okaeme
- Description of ISDA SIMM
- Example to illustrate calculation using methodology
- Comparison of Initial Margin from SIMM versus Schedule
2:15 PM ISDA SIMM Implementation Andrew Hill, Lutz Weinert
- Data Preparation
- Building SIMM
- Operational Flows: From calculation to settlement
- ISDA SIMM Crowdsourcing Utility
3:00 PM Coffee Break
3:15 PM Evolution of SIMM Nnamdi Okaeme, Lutz Weinert
- Origins of the SIMM Methodology
- Enhancements made from SIMM 1.0 to 2.1
- Future evolution of SIMM
3:40 PM ISDA SIMM Annual Cycle Tara Kruse, Nnamdi Okaeme
- SIMM Monitoring
- Evidence-based approach to SIMM change review
- Quarterly Monitoring
- SIMM Calibration
- SIMM Backtesting and Benchmarking
4:15 PM SIMM Governance and Regulatory Engagement Tara Kruse, Lutz Weinert
- Industry-level governance
- ISDA’s regulatory engagements
- Firm-level governance
- Firm-level regulatory engagement
4:45 PM Workshop Concludes
Agenda is subject to change.
VenueBack to Top
Ernst & Young, Maagpl. 1, 8005 Zürich, Switzerland, +41 58 286 31 11
SpeakersBack to Top
Head of Change Management
ICE Benchmark Administration
Global Head of Infrastructure, Data and Non-Cleared Margin
Director, Risk and Capital
Director, Head of Counterparty Risk Infrastructure and Processes
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. Groups must be registered together, in advance of the event. 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.