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Partners in Risk Management

Margin Models

Most OTC derivatives positions are now margined, either via CCPs or bilaterally according to the SIMM methodology. Banks must therefore manage and streamline margining processes to ensure time and cost efficiency.

Key Project Experience

  • Our client, a G-SIB, was involved in the earliest phase of SIMM implementation. This required building flexible infrastructure for accurate regulatory backtesting and annual street-wide ISDA recalibration exercises. Our consultants were deeply involved in building the underlying backtesting analytics. This included sourcing and processing the input data, implementing a robust automated process and improving the accuracy of the risk engine by analysing the backtesting results. Once the process was live, we built reporting processes for ongoing monitoring of the model and its performance, helping transition the process to a BAU activity.

C: Dilbagh Kalsi
D: +44 (0) 7703 788 016