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Working Paper
Initial Margin for Crypto Currencies Risks in Uncleared Markets
We examine prospective classification of crypto currencies risks within the ISDA Standardized Initial Margin Model (SIMM) framework for calculation of initial margin on trades sensitive to cryptocurrencies’ risk factors in the uncleared market. Consistent with the view that cryptocurrencies are digital assets that fundamentally rely on distributed ledger technology (DLT) and induce financial risks that are significantly different from those in traditional risk classes like commodities or FX, we find that cryptocurrencies are best classified into a distinct risk class within SIMM that is ...