Dynamic Initial Margin via Chebyshev Tensors

Ignacio Ruiz and Mariano Zeron

Papers from arXiv.org

Abstract: We present two methods, based on Chebyshev tensors, to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. These methods are implemented and run in a Monte Carlo engine to compute Dynamic Initial Margin as defined by ISDA (SIMM). We show that the levels of accuracy, speed and implementation efforts obtained, compared to the benchmark (DIM obtained calling pricing functions such as are found in risk engines), are better than those obtained by alternative methods presented in the literature, such as regressions (\cite{Zhu Chan}) and Deep Neural Nets (\cite{DNNs IM}).

Date: 2018-08, Revised 2020-03
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