  Non-cleared bilateral OTC derivatives between two financial firms or
systemically important non-financial entities are subject to regulations that
require the posting of initial and variation margin. The ISDA standard approach
(SIMM) provides a way for computing the initial margin. It involves computing
sensitivities of the contracts with respect to several market factors. In this
paper, the authors extend the well known LSMC technique to efficiently estimate
the sensitivities required in the ISDA SIMM methodology.
