×

Liquidity Margin

  • US 20140172748A1
  • Filed: 12/19/2012
  • Published: 06/19/2014
  • Est. Priority Date: 12/19/2012
  • Status: Abandoned Application
First Claim
Patent Images

1. A method of determining risks associated with a portfolio of financial instruments, the method comprising:

  • (a) determining at a processor a concentration based liquidity charge which takes into account the effect of portfolio risk;

    (b) determining at a processor a floor liquidity charge based on bid-ask spreads for positions in the portfolio; and

    (c) assigning a liquidity risk value that is the higher of the concentration based liquidity charge or the floor liquidity charge.

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