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Calculating Liquidity Margin Requirements

  • US 20150332403A1
  • Filed: 05/07/2015
  • Published: 11/19/2015
  • Est. Priority Date: 05/16/2014
  • Status: Abandoned Application
First Claim
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1. A system comprising:

  • a data repository storing portfolio information;

    a liquidity margin computing device communicatively coupled to the data repository, the liquidity margin computing device comprising;

    a processor; and

    a non-transitory memory device storing instructions that, when executed by the processor, cause the liquidity margin computing device to;

    calculate a hedge cost associated with a credit default swap (CDS) portfolio;

    calculate a liquidation cost associated with the CDS portfolio; and

    calculate an aggregate liquidity charge for the CDS portfolio based on the hedge cost and the liquidation cost.

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