SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET
First Claim
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.
1 Assignment
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Accused Products
Abstract
A system and method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method include receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a systematic risk margin based on at least a portion of the received plurality of data, determining a curve risk margin based on at least a second portion of the received plurality of data, determining a convergence and divergence risk margin based on at least a third portion of the received plurality of data, determining a sector risk margin based on at least a fourth portion of the received plurality of data, determining an idiosyncratic risk margin based on at least a fifth portion of the received plurality of data, determining a liquidity risk margin based on at least a sixth portion of the received plurality of data, determining a basis risk margin based on at least a seventh portion of the received plurality of data, and calculating a multi-factor risk margin based on one more of the determined risk factors.
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Citations
20 Claims
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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:
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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 Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A system for determining margin requirements for a portfolio of positions on products traded on an exchange, the system comprising a processor wherein the processor comprises:
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an activity monitor coupled with the exchange to monitor the portfolio of positions on the exchange for a present time period; an activity risk assessor coupled with the activity monitor wherein the activity risk assessor correlates the monitored activity with an assessment a systematic risk margin and a macro risk margin; and a risk processor coupled with the activity risk assessor wherein the risk processor computes the margin requirement based on the portfolio of products and the assessed systematic risk margin and the assessed macro risk margin. - View Dependent Claims (10, 11, 12, 13, 14)
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15. A method for determining a margin, the method comprising:
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receiving a plurality of data associated with a plurality of financial instruments; determining, using a processor, a macro risk margin based on at least a portion of the received plurality of data; determining, using the processor, a sector risk margin based on at least a portion of the received plurality of data; and calculating, using the processor, a macro risk margin based on one more of the determined risk factors. - View Dependent Claims (16, 17, 18, 19, 20)
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Specification