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MARGIN OFFSETS ACROSS PORTFOLIOS

  • US 20090171824A1
  • Filed: 12/27/2007
  • Published: 07/02/2009
  • Est. Priority Date: 12/27/2007
  • Status: Abandoned Application
First Claim
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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.

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