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ASYMMETRIC AND VOLATILITY MARGINING FOR RISK OFFSET

  • US 20070294158A1
  • Filed: 08/27/2007
  • Published: 12/20/2007
  • Est. Priority Date: 01/07/2005
  • Status: Abandoned Application
First Claim
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1. A method for asymmetrically analyzing a financial risk, the method comprising:

  • determining a first margin for a first position associated with a financial product, wherein the financial product represents an event having disparate risk positions;

    determining a second margin for a second position associated with the financial product, wherein the second margin is related to the first margin as an exponential function; and

    calculating a cash flow according to the first margin for the first position and the second margin for the second position.

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