Home > User Guide > Credit Risk Calculations > SIMM

SIMM

Vector Risk supports the ISDA SIMM calculation methodology.

There are many similarities between SIMM and FRTB SA. Vector Risk re-uses a lot of the infrastructure originally developed for FRTB SA to generate the SIMM sensitivities. Two sensitivity calculations are performed in a SIMMSensitivity task, and then the roll-up formula to measure the SIMM margin is implemented in its own SIMM task type.




See also
CVA
PFE
Margining
SA-CCR