Standard Initial Margin Model (SIMM) calculation
The SIMM framework is based on first-order greeks to make it more computationally tractable than other methodologies such as Expected Historical VaR. Maxeler’s SIMM calculation product powered by Xilinx Alveo U200 provides an industry-proven risk analytics infrastructure. SIMM product splits naturally into the calculation of sensitivities, and the application of risk weights and aggregation. The Maxeler Risk Analytics library provides the framework for calculating greeks on CPUs as well as on Xilinx U200 Acceleration card. Initial margin requirements can be calculated directly from a portfolio of trades supplied in FpML format, or indirectly by supplying sensitivity values from external models (for example, a liability exposure to be hedged).
Key Features and Benefits
- Potential use cases include:
- For a given trade, automatically selecting the counterparty with the most offsetting risk for minimal margin requirements
- Identifying trades for portfolio compression
- Evaluating “what-if” trades and hedging strategies for margin impacts
- Performance advantage for complex risk calculations of 10-50x for real-time results before trading