×

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

  • US 20120095938A1
  • Filed: 12/16/2011
  • Published: 04/19/2012
  • Est. Priority Date: 01/07/2005
  • Status: Active Grant
First Claim
Patent Images

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, using a processor, a systematic risk margin based on at least a portion of the received plurality of data;

    determining, using a processor, a macro risk margin based on at least a portion of the received plurality of data;

    calculating, using the processor, a multi-factor risk margin based on at least the systematic risk margin and the macro risk margin.

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