SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET
First Claim
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1. A method comprising:
- receiving a plurality of data associated with a plurality of financial instruments within a portfolio;
calculating, using a processor, a maximum risk margin for each of a plurality of risk factors, wherein the maximum risk margin for each of the plurality of risk factors is determined based on the plurality of data; and
calculating, using the processor, a total multi-factor risk margin based on the maximum risk margin for each of the plurality of risk factors.
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Abstract
A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The method includes receiving a plurality of data associated with the plurality of financial instruments within the portfolio, calculating a maximum risk margin for each of the plurality of risk factors such that the maximum risk margin for each of the plurality of risk factors is determined based on the plurality of data, 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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Citations
20 Claims
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1. A method comprising:
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receiving a plurality of data associated with a plurality of financial instruments within a portfolio; calculating, using a processor, a maximum risk margin for each of a plurality of risk factors, wherein the maximum risk margin for each of the plurality of risk factors is determined based on the plurality of data; and calculating, using the processor, a total multi-factor risk margin based on the maximum risk margin for each of the plurality of risk factors. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A method comprising:
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receiving, using a processor, a plurality of data associated with a plurality of credit default swaps within a portfolio; calculating, using the processor, a plurality of maximum risk margins based on at least a portion of the received plurality of data; calculating, using the processor, a total multi-factor risk margin based on the plurality of maximum risk margins; and sending data indicative of the total multi-factor risk margin to a device. - View Dependent Claims (10, 11, 12)
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13. An apparatus comprising:
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a database configured to store a plurality of data associated with a plurality of financial instruments within a portfolio; a margin processor configured to calculate a maximum risk margin for each of a plurality of risk factors, wherein the maximum risk margin for each of the plurality of risk factors is determined based on the plurality of data, and configured to calculate a total multi-factor risk margin based on the maximum risk margin for each of the plurality of risk factors.
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14. The apparatus of claim 14, further comprising:
a systematic risk processor configured to identify time series spread data of at least one index from the plurality of data, calculate a plurality of absolute periodical changes from the time series spread data, and determine a systematic risk shock according to a statistical analysis of the plurality of absolute periodical changes, wherein the plurality of risk factors includes the systematic risk shock. - View Dependent Claims (15, 16, 17, 18, 19, 20)
Specification