Qu'est-ce que « Standard initial margin model » ?

A standard initial margin model computes bilateral margin from prescribed sensitivities (delta, vega, curvature) by risk class, weighted by calibrated risk weights and aggregated with prescribed correlations, $\mathrm{IM} = \sqrt{WS^\top R\,WS}$ within each class: the same structure as the FRTB sensitivities method (chapter 23). The industry’s model is ISDA’s SIMM, whose parameters are recalibrated periodically; the chapter uses illustrative parameters.