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Developing and Evaluating SIMM Forecasting Models

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Academic year: 2020

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Figure

Figure 1-1. Impact of IM approximation method on Potential future Exposure (PFE) for an example bilateral netting set
Figure 4-1. Showing a graphical representation of the simulated MtM future evolutions (scenarios) of a netting set and the  resulting future exposure (shaded area on the distribution graph
Figure 5-1. Graphical representation of a simulated zero curve, shocked at the 5Y tenor point
Figure 6-1. Portfolio 1 evolution of trades through time. There is a total of 264 trades in the Portfolio at t 0
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