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Developing and Evaluating SIMM Forecasting Models

Pris, M. (2017) Developing and Evaluating SIMM Forecasting Models.

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Abstract:This research focused on developing and evaluating models for SIMM-based Initial Margin forecasting. Initial Margin is a new regulatory required counterparty exposure risk mitigant and SIMM is becoming the industry standard for Initial Margin calculations. As SIMM forecasting is computationally unfeasible, this paper provides various methods to replicate SIMM forecasting.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:31 mathematics
Programme:Industrial Engineering and Management MSc (60029)
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