Margin Requirement Based on Intrinsic Value of Index CDS

摘要

A computer system may access data describing positions in a portfolio. The portfolio positions may include a position in an index credit default swap corresponding to K separate credit entities. The computer system may calculate at least one margin component based on intrinsic values of the index credit default swap at multiple times t. An intrinsic value at a time t may be represented by a sum of weighted prices, at that time t, of single name credit default swaps corresponding to the K credit entities. The computer system may also calculate data representing a margin requirement that is based at least in part on the at least one margin component and may transmit data representing the margin requirement.

主权项

1. A method comprising:
accessing, by a computer system, data describing positions in a portfolio, the portfolio positions including a position in an index credit default swap corresponding to K separate credit entities; calculating, by the computer system, at least one margin component based at least in part on intrinsic values of the index credit default swap at multiple times t, wherein each of the intrinsic values of the index credit default swap is represented byVi(t)=∑k=1KP(SNk,t)*wk,and wherein Vi(t) is an intrinsic value of the index credit default swap at a time t, P(SNk, t) is a value at that time t for a price of a single name credit default swap corresponding to the kth credit entity of the K credit entities, and wk is a value for a weighting factor;
calculating, by the computer system, data representing a margin requirement that is based at least in part on the at least one margin component; and transmitting, by the computer system, data representing the margin requirement.