A METHOD OF DETERMINING A CAPITAL-AT-RISK FOR A CLEARING HOUSE

摘要

In an algorithm for estimating the required capital-at-risk of the clearing capital used by a computer system the system will receive a number of positions for accounts associated with the clearing house and estimate the market value of the accounts at a number of different scenarios. The algorithm will then sum the accounts associated with the highest losses to a sum indicative of a potential loss, which sum will be used as the capital-at-risk for the clearing house.