×

System and method for determining the market risk margin requirements associated with a credit default swap

  • US 8,429,065 B2
  • Filed: 10/26/2012
  • Issued: 04/23/2013
  • Est. Priority Date: 09/15/2009
  • Status: Active Grant
First Claim
Patent Images

1. A computer-implemented method for determining a margin requirement associated with a portfolio comprising one or more positions with respect to a plurality of financial instruments, the method comprising:

  • computing, by a processor, the margin requirement based on a risk value computed as a function of a distribution of a plurality of portfolio profit and loss (“

    PNL”

    ) scenarios, each PNL scenario being based on an aggregate difference between a current price of each of the plurality of financial instruments of the portfolio and a simulated price thereof determined as a function of a plurality of simulated residuals generated based on a plurality of standardized residuals calculated based on a modeling of volatility of an estimate to which a known time-series of returns associated with each of the plurality of financial instruments is predictive of a subsequent time series of returns therefore.

View all claims
  • 0 Assignments
Timeline View
Assignment View
    ×
    ×