I denna studie jämförs ISDA SIMM initiala säkerhetskrav för ej centralt clearade OTC-derivat med en traditionell riskmätningsmetod vid namn value-at-risk. Resultatet antyder att ISDA SIMM för enklare swap-portföljer uppfyller kraven satta i form av att vara mer stabil och transparent än en 10 dagars value-at-risk på en 99%ig konfidensnivå. SIMM-modellen kräver dock att marknadsaktörerna kontinuerligt blir givna kalibreringsparametrarna som återspeglar marknadsförhållanden av ISDA. / In this study the ISDA SIMM and the initial margin requirements for non-centrally cleared over the counter derivatives is investigated and compared with the traditional risk measure value-at-risk. The empirical results suggest that for swap portfolios the ISDA SIMM achieves its set out purpose of being less volatile and more transparent than the 10-day value-at-risk on a 99% confidence level. However, the SIMM framework will re-quire market participants to be continuously updated and provided calibration parameters which reflect current market conditions from ISDA.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-235283 |
| Date | January 2018 |
| Creators | Hamilton, Ludvig |
| Publisher | KTH, Matematisk statistik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | Swedish |
| Detected Language | Swedish |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-SCI-GRU ; 2018:365 |
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