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SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET

  • US 20110035342A1
  • Filed: 07/21/2010
  • Published: 02/10/2011
  • Est. Priority Date: 01/07/2005
  • Status: Active Grant
First Claim
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1. A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio, the method comprising:

  • receiving a plurality of data associated with the plurality of financial instruments within the portfolio;

    determining a shock value for each of a plurality of risk factors within a multi-factor risk model, wherein the shock factor is determined based on the received plurality of data;

    calculating a maximum risk margin for each of the plurality of risk factors, wherein the maximum risk is a function of the shock value associated with each of the plurality of risk factors; and

    calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors.

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