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Initial Margin : Covariance Matrix

MinatoDBO

Joined
6/27/22
Messages
1
Points
1
Hello ,

I am trying to replicate the following example in order to calculate IM : ISDA SIMM™ in Excel – Equity Derivatives

I am stuck at the last step (impossible to find the final figures): Aggregating Positions across Risk Buckets

Who can help me to understand this last step with detail please.

How to apply the matrix according to the last formula in order to find 3M IM.

Thank you
 

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