ISDA SIMM v25a the first off-cycle release

Version 2.5a ISDA has published¬†ISDA SIMM v2.5a¬†with a re-calibration of interest rate risk weights only. This is an off-cycle release, due to the higher interest rates volatility observed in 4Q 2022, compared to that in 2019-2021 and the stress period of Sep-08 to Jun-09; the time period used for the calibration of v2.5. Quarterly industry […]