Before revision:  This paper presents a computationally efficient method of calculating IM costs for any derivative portfolio: Longstaff-Schwartz Augmented Compression , (LSAC) . Essentially, Longstaff-Schwartz is used with an augmented state space to retain accuracy for VAR-relevant changes to the state variables.
After revision:  This paper presents a computationally efficient method of calculating IM costs for any derivative portfolio: Longstaff-Schwartz Augmented Compression (LSAC) . Essentially, Longstaff-Schwartz is used with an augmented state space to retain accuracy for VAR-relevant changes to the state variables.