ISDA SIMM™ in Excel – Cross Currency Swaps

The ISDA SIMM™ methodology has been expanded to include Cross Currency Swaps. We explain in detail how to create the required input sensitivities. These sensitivities are not the typical cross currency basis risk that a risk management system would calculate. Once the input sensitivities are calculated, the calculation of Initial Margin follows the typical SIMM equations. We show how […]