In Episode 4 of our series on the latest thinking and best practices for the Uncleared Margin Regulations, Edmund Parker, Mayer Brown’s Global Head of Derivatives & Structured Products, and Hiroshi Tanase, Executive Director and Product Manager of IHS Markit, provide an overview of the initial margin calculation - from the fundamental definition to the specific calculation methodologies - in the context of preparing for regulatory compliance. We cover the definition of IM and its characteristics; the IM calculation methodologies – how to perform the calculation; Implementing a solution; and SIMM validation and backtesting.
(Running time: 27 minutes)
