台灣金融研訓院(教育訓練)台灣金融研訓院(教育訓練)

班名

- 主題 -
SIMM & MVA實務探究及對衍生商品定價與
資本計提之影響精析

隨著保證金規範門檻降低,愈來愈多交易實體須於2020年9月前符合IM監管要求。IM的計算邏輯繁複,因模型建置、投資組合配置及市場參數設定的差異而產生不一致的計算結果,ISDA為減低交易對手間IM不一致等情況,發布標準原始保證金模型 ( ISDA SIMM™ )。本活動特別邀請衍生性金融商品權威專家深度解析SIMM & MVA方法,及其對衍生商品定價、資本計提與相關擔保品管理實務之影響,幫助金融從業人員快速掌握SIMM精髓,歡迎各界金融人士踴躍參加!

教學方式

本課程將透過小組分組方式進行,以深入淺出的案例分享,
輔以上機模擬實作演練,幫助金融從業人員在互動式與實戰演練中掌握SIMM模型之要點。

-課程大綱-
本課程全程以英文授課

09:30-09:35

致歡迎詞 Welcome Remarks

6/5上午

Introduction to Initial Margin原始保證金介紹: IM & VM
  • Collaterals
  • Variation Margin (VM)
  • MPoR and the reason for IM
  • Differences between IM & VM
  • Different approaches to compute VaR/IM
  • Bilateral IM & SIMM

SIMM Methodology標準原始保證金模型方法論
  • Motivations: less dispute/ discrepancies
  • Sensitivity based
  • Hierarchy of product classes, risk factor and buckets

Inputs to SIMM 標準原始保證金輸入值
  • Input format (CRIF)
  • Some examples of CRIF
  • Pre-processing of sensitivities to CRIF

6/5下午

SIMM Examples/Exercises (require excel)標準原始保證金模型範例演練
  • Calculate & compare SIMM against schedule IM on
  • IR trades examples
  • Credit
  • Portfolio example

Impacts of IM 原始保證金的影響
  • Seniority of derivative creditors
  • Capital Requirements
  • Collateral Management
  • Funding cost of IM (MVA)

MVA (may need numerical tool)保證金估計調整: MVA & xVA
  • Derivatives Valuation after the financial crisis and XVA
  • Margin Requirement reduces CVA and FVA but it requires
  • Issues in computing MVA
  • MVA Challenges

Conclusion and Q&A結論及問與答
※本院保留變更活動內容及講座、講題、時間安排等權利。 ※請學員自備筆電以配合上機模擬演練 (含excel功能)

講座介紹

  • Mr. Hsu

    Mr. Hsu擁有22年華爾街工作經驗,目前擔任Simplex Inc.台北/東京全球業務發展副總裁,Simplex為日本最大的資本市場Fintech公司,在加入Simplex以前,Mr. Hsu是紐約Paramita Capital Management的創辦人兼投資長,負責避險基金宏觀交易及客戶開發與諮詢。2010至2012年在紐約Vegasoul Capital擔任資深投資組合經理,負責多資產組合期權交易;2006年至2009在Dresdner Bank具高獲利的Asia Quant Trading團隊擔任處長並負責已開發亞洲國家股權交易,之後加入Deutsche Bank,擔任內部最大避險基金自營交易團隊的處長及資深交易員,在資本市場中擁有非常豐富的投資經驗。

    Mr. Hsu has 22 years Wall Street experiences and currently is EVP of Simplex Inc.’s Global Business Development group based in Taipei/Tokyo. Simplex is Japan’s largest fintech co. for capital markets. Prior to joining Simplex, he is the founder and Chief Investment Officer of Paramita Capital Management in New York. He is responsible for the HF’s global macro trading and client advisory. From 2010 to 2012, he was a senior portfolio manager at Vegasoul Capital in New York and ran the multi-asset options trading. Vegasoul Capital is a sophisticated, 100% systematic CTA fund with USD750 million of AUM. From 2006 to 2009, Mr. Hsu worked at Dresdner Bank’s highly profitable Asia Quant Trading team as a director and senior prop trader to head developed-Asia equity options trading. He was then re-hired by the same manager to join Deutsche Bank’s largest internal HF – Equity Proprietary Trading group as a director and senior prop trader based in Tokyo. From 2004 to 2006, Mr. Hsu was a portfolio manager in Bermuda based West End Capital (a Fixed Income RV/Global Macro HF funded by Berkshire Hathaway with USD$1 billion AUM) to run G7 volatility trading in the hybrid (IR/FX) space. From 1997 to 2004, he was VP for Credit Suisse’s fixed income division in Tokyo, New York, and London. During his 7-year tenure at Credit Suisse, he worked for the most profitable JGB desk in Tokyo from 1997 to 2000, then moved back to CS New York to lead and became a pioneer in the fixed income high frequency, market-making algorithm business. From 2003 to 2004, he moved to CS London to help form the Pension Advisory & Structuring group from scratch to deliver LDI solutions.

    Mr. Hsu earned both MS in Computational Finance and MBA degrees from Carnegie Mellon University in 1997, BS in Electronics Engineering from National Chiao Tung University (Taiwan’s best science and engineering school) in 1993; and passed 10 US actuarial exams from Society of Actuaries pre-2000. He passed US FINRA, UK FSA, and Japan JSDA exams. Mr. Hsu also ranked 2nd place in the worldwide mental math competition awarded in Tokyo and was televised on Japan’s NHK TV channel before. He can mentally calculate options Greeks and hedging ratio in real-time.


  • Dr. Soetojo Tanudjaja

    Dr. Soetojo博士畢業於新南威康斯大學金融數學系,在定量分析,尤其是固定收益及混合式衍生性金融商品等有相當豐富的實務經驗。1994年加入倫敦-花旗銀行,其後至多家知名投資銀行工作,如Lehman Brothers、Bear Stearns及JP Morgan,在利率模型、商生性商品定價與混合式商品之風險控管等多有研究。目前是日本知名財務系統軟體開發廠商顧問,主要開發CVA & DVA雙邊建模、SIMM、MVA及資本要求等,以符合最新監管要求。

    Soetojo has an extensive experience as a Quantitative analyst, mostly in Fixed Income and hybrids derivatives. He obtained his PhD. in Financial Mathematics from the University of New South Wales in Australia. In 1994, he joined Citibank in London as a junior Quant in Fixed Income desk. Since then he had worked in several investment banks such as Lehman Brothers, Bear Stearns and JP Morgan. During this time he did research and implementation of several Interest rate models, for example: HJM, Libor market model etc. and also implemented pricing and risk management for hybrid exotics such as Power Reverse Dual Currency. Since late 2014, he has been a consultant working in implementing XVA’s and some part of FRTB for Simplex Inc. a major financial software developer in Japan. It includes how to model bilateral CVA & DVA correctly, and incorporating Wrong Way Risk, how to avoid overlap between DVA & FVA. He had also done some works on SIMM, MVA & capital requirements (standard approach such as SA-CCR and Internal Model).

    Training experience: In Aug 2017 he had given a training for TABF (Taiwan Academy of Banking and Finance) on Advanced Counter Party Credit Risk which includes XVA’s and Capital Requirements. In Mar 2018, he did a training for Hong Kong SFC on the Practices and Implementation Issues of XVA.


  • Dr. Osamu Tsuchiya

    Dr. Osamu擁有超過20年華爾街工作經驗,目前是日本最大金融科技公司Simplex Inc.負責人。曾在Dresdner Kleinwort及Citigroup擔任混合式衍生商品定量分析師;安永會計師事務所財務風險管理顧問,具有豐富的實務經驗。 經常受邀作為衍生金融商品培訓課程講座,並多次在知名衍生商品會議中發表演說,包括2019年3月在倫敦舉辦的第八屆XVA會議,演講中闡述ISDA SIMM 與 MVA將會是原始保證金下一階段重要的議題。發表多篇論文與期刊,近期出版名為「A Practical Approach to XVA from World Scientific」的暢銷書籍,為衍生金融商品領域權威專家。

    Osamu obtained his Theoretic Physics PhD. from University of Tokyo and has over 20 years Wall Street experiences. Currently he is a Principal at Simplex Inc., the largest fintech co. in Japan covering major financial institutions. Based in Japan, he has worked for Dresdner Kleinwort and Citigroup as a rates and hybrid derivatives quant analyst. He has also worked for XVA modeling. Additionally, he has experience working as a financial risk management consultant for Ernst and Young. He is a frequent speaker of the financial derivatives training courses and conferences including The 8th XVA conference London from WBS in March 2019. During the conference, he illustrated the linkage between ISDA SIMM and MVA, an important topic for the next phase initial margin research area. He also published several financial derivatives papers including “Unveiling FVA; Simple Cash Flow analysis with Counterparty and Own Default for Funding Value Adjustment” and “Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation”.
    Recently, Osamu published a famous book titled: A Practical Approach to XVA from World Scientific.

-課程資訊-

課程時間 /
2019/06/05 (週三) 09:30-16:30
課程地點 /
台灣金融研訓院 (100臺北市中正區羅斯福路三段62號)
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參加對象
  • 金融監督管理委員會、中央銀行及財政部等主管機關代表
  • 金融業相關公會及周邊單位負責人及相關主管
  • 各金融機構金融商品交易與設計、資本市場、金融商品行銷部門、風險管理、法令遵循、內部稽核等相關部門主管及從業人員
  • 會計師與律師事務所及相關管理顧問公司人員

線上報名 下載報名表

- 其他事項 -

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  • 本院保留變更本活動內容、講座、講題及時間安排等權利,活動資訊如有異動,以本院網站更新公告為準。