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Margin Analytics Library

Margin Analytics Library computes the Initial and the Variation Margin Analytics.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • SIMM => Initial Margin Analytics based on ISDA SIMM and its Variants.

Coverage

  • Regression Sensitivities for Margin Portfolios
    • Abstract
    • Methodology
    • References
  • Principles Behind ISDA SIMM Specification
    • Introduction
    • Background
    • Objectives
    • Criteria
    • Modeling Constraints
    • Selecting the Model Specification
    • Scanning the Existing Industry Solutions
    • SIMM Specifications
    • Non-Procyclicality
    • Data Needs, Costs, and Maintenance
    • Transparency and Implementation Costs
    • Evolution of SIMM Through the Regulatory Process
    • SIMM and the Nested Variance/Covariance Formulas
    • Rationale Behind the Nested Sequence Approach
    • Explicit Expression for S_a
    • FRTB Approximation
    • SIMM Approximation
    • Testing the Approximations
    • Explicit Large Correlation Matrix
    • Proof that the Elements of the Eigenvectors are smaller than One in Magnitude
    • Numerical Example – Global Interest Rate Risk (GIRR)
    • SIMM Curvature Formulas – Introduction
    • ISDA SIMM Curvature Formula
    • Numerical Tests
    • References
  • ISDA SIMM Methodology
    • Contextual Considerations
    • General Provisions
    • Definition of the Interest Rate Risk
    • Definition of Sensitivity for Delta Margin Calculation
    • Interest Rate Risk Weights
    • Credit Qualifying: Risk Weights
    • Credit Qualifying: Correlations
    • Credit Non-Qualifying Risk
    • Credit Non-Qualifying – Correlations
    • Equity Risk Weights
    • Equity Correlations
    • Commodity Risk Weights
    • Commodity Correlations
    • Foreign Exchange Risk
    • Concentration Thresholds
    • Additional Initial Margin Expressions
    • Structure of the Methodology
    • Interest Rate Risk Delta Margin
    • Non Interest Rate Risk Classes
    • References
  • Dynamic Initial Margin Impact on Exposure
    • Abstract
    • Introduction
    • Exposure in the Presence of IM and VM
    • Modeling VM
    • Modeling U
    • Modeling IM
    • Summary and Calibration
    • The Impact of IM: No Trade Flows within the MPoR
    • Local Gaussian Approximation
    • Numerical Tests
    • The Impact of IM: Trade Flows within the MPoR
    • Expected Exposure – Numerical Example #1
    • The Impact of IM on CVA
    • Expected Exposure: Numerical Exposure 2
    • Numerical Techniques – Daily Time Grid
    • Calculation of the Path-wise IM
    • Calculation of Path-wise Exposure
    • Numerical Example
    • Conclusion
    • References
  • CCP and SIMM Initial Margin
    • Initial Margin
    • CCP IM
    • Interest Rate Swap Methodology
    • Interest Rate Swap Calculation
    • Credit Default Swap Methodology
    • SIMM
    • MVA
    • Summary
  • Aggregation Analytics
    • Aggregation Problem
    • Overview of the Aggregation Workflow
    • Aggregation Functionality
    • Calculation of Raw Exposure Matrix
    • Configuration Settings for Non Basel-III Regimes
    • Configuration Settings for Basel III Regimes
    • Calculation of Net Exposure Matrix
    • Collateral Matrix Calculation
    • Collateral Calculation for FCC Counterparties
    • Holding Period Adjustment
    • Equivalent Cash at Valuation Date
    • Haircut Adjustment Factor
    • Collateral Matrix Calculation - FCC (t=0)
    • Counterparty State 2 with Timepoint Less Than 90 Days or Counterparty State 3
    • Counterparty State in Green or Amber and Red State with Timepoint > 3 Months
    • 𝑺𝒉𝒐𝒄𝒌𝒆𝒅𝑷𝑳 for Type 1 Product for FCC
    • 𝑺𝒉𝒐𝒄𝒌𝒆𝒅𝑷𝑳 Model for Type 2 Product for FCC
    • 𝑺𝒉𝒐𝒄𝒌𝒆𝒅𝑷𝑳 Model for Type 3 Product for FCC
    • Post Processing
    • Calculation of the Upfront Collateral
    • Upfront Collateral at Silo Level
    • Upfront Collateral at Combined Level
    • Shifted Exposure Matrix
    • Basel III Rules for Margin Period of Risk
    • Exposure Shifted by Margin Period of Risk for Collateralized Counterparties
    • Exposure Shifted by Margin Period of Risk for Uncollateralized Counterparties
    • Exposure Shifted by Margin Period of Risk for FCC
    • Collateralized Exposure Matrix
    • Calculation of Adjustment
    • Actual Collateral Adjustment
    • Wrong Way Risk Adjustment
    • Final Exposure Matrix

DROP Specifications