×

System and method for asymmetric offsets in a risk management system

  • US 10,026,123 B2
  • Filed: 10/02/2013
  • Issued: 07/17/2018
  • Est. Priority Date: 09/10/2004
  • Status: Active Grant
First Claim
Patent Images

1. A method comprising:

  • receiving, at a first processor, real time data;

    calculating, by the first processor, a first margin requirement for a first tradable instrument with respect to a second margin requirement for a second tradable instrument related to the first tradable instrument, based on the real time data associated with the first tradable instrument as compared to the second tradable instrument;

    calculating, by the first processor, a third margin requirement for a third tradable instrument with respect to a fourth margin requirement for a fourth tradable instrument associated with the third tradable instrument;

    defining a plurality of windows for windows classes for the first, second, third and fourth tradable instruments, wherein the plurality of windows each have a size based on a corresponding correlation;

    computing, by a second processor, wherein the second processor is a correlation processor, a margin for a portfolio comprising the first, second, third and fourth tradable instruments as a sum of the first, second, third and fourth margin requirements by moving the plurality of windows; and

    sending the margin for the portfolio to an improved efficiency clearing system.

View all claims
  • 1 Assignment
Timeline View
Assignment View
    ×
    ×