The estimation of dynamic initial margin (DIM) for general portfolios is a challenging problem. The present paper describes an accurate new approach, based on regression, that uses Johnson-type distributions, which are fitted to conditional moments estimated using least-squares Monte Carlo...

We introduce a data driven and model free approach for computing conditional expectations. The new method is based on classical techniques combined with machine learning methods. In particular, we consider kernel density estimation based on simulated risk factors combined with a control variate....