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MARGIN REQUIREMENT DETERMINATION AND MODELING FOR CLEARED CREDIT

  • US 20150332404A1
  • Filed: 05/07/2015
  • Published: 11/19/2015
  • Est. Priority Date: 05/16/2014
  • Status: Active Grant
First Claim
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1. A credit default swap (CDS) risk modeling computing system comprising:

  • at least one processor; and

    one or more non-transitory memory devices communicatively coupled to the at least one processor, the non-transitory memory devices storing instructions that, when executed by the at least one processor, cause the CDS risk modeling computing system to;

    calculate, using a spread risk factor calculator, a spread risk factor corresponding to a value at risk (VaR) associated with a plurality of correlation scenario sets, wherein the correlation scenario sets correspond to characteristics of at least one of a single name credit default swap or an index credit default swap of a portfolio;

    calculate, using an idiosyncratic risk factor calculator, an idiosyncratic risk factor corresponding to a jump-to-default (JTD) charge and a jump-to-health (JTH) charge associated with the portfolio;

    calculate, using an interest rate risk factor calculator, an interest rate risk factor corresponding to losses associated with the portfolio due to a change in interest rates;

    calculate, using a liquidity risk factor calculator, a liquidity risk factor corresponding to a liquidity charge associated with the portfolio; and

    calculate, by a margin calculator, a margin requirement for the portfolio based, at least in part on the spread risk factor, the idiosyncratic risk factor, the interest rate risk factor, and the liquidity risk factor.

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