MARGIN OFFSETS ACROSS PORTFOLIOS
First Claim
1. A method for managing a risk associated with a plurality of portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange, the method comprising:
- determining a risk assessment for each of a plurality of portfolios;
calculating a margin offset associated with each of the plurality of portfolios;
adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset;
determining a portfolio risk assessment for the plurality of portfolios; and
calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.
1 Assignment
0 Petitions
Accused Products
Abstract
A method for managing a risk associated with a plurality portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange is disclosed. The method includes determining a risk assessment for each of a plurality of portfolios, calculating a margin offset associated with each of the plurality of portfolios, adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset, determining a portfolio risk assessment for the plurality of portfolios, and calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.
-
Citations
18 Claims
-
1. A method for managing a risk associated with a plurality of portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange, the method comprising:
-
determining a risk assessment for each of a plurality of portfolios; calculating a margin offset associated with each of the plurality of portfolios; adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset; determining a portfolio risk assessment for the plurality of portfolios; and calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
-
-
10. A system for determining margin requirements for a plurality of portfolios of positions on products traded on an exchange, the system comprising:
-
a memory configured to stored executable instructions; a processor in communication with the memory, the processor configured to execute the stored executable instructions, wherein the stored executable instructions are configured to; determine a risk assessment for each of a plurality of portfolios; calculate a margin offset associated with each of the plurality of portfolios; adjust the risk assessments associated with each of the plurality of portfolios as a function of the margin offset; determine a portfolio risk assessment for the plurality of portfolios; and calculate a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
-
Specification