Tag: Capital

Documentation March 26, 2014

Standard Initial Margin Model for Non-Cleared Derivatives: White Paper and Appendix

A whitepaper discussing the SIMM for non-cleared derivatives was published by ISDA in December 2013.... Read more Standard Initial Margin Model for Non-Cleared Derivatives: White Paper and Appendix

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Research Notes June 13, 2011

A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

The Basel Committee permits firms to use a variety of methods to calculate regulatory capital... Read more A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

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