| 摘要 |
A system (100) and method (300) for analyzing, administering and managing risk for portfolio (104) including at least one product (e.g., 200A, ... , 200n) having substantially asymmetric risk exposure is disclosed. The system (100) and method (300) includes determining a first margin for a first position associated with a financial product (e.g., 200A, ... , 200n), wherein the financial product (e.g., 200A, ..., 200n) represents an event having disparate risk positions, and determining a second margin for a second position associated with the financial product (e.g., 200A, ..., 200n), wherein the second margin is related to the first margin as an exponential function. The system (100) and method (300) further include calculating a cash flow according to the first margin for the first position and the second margin for the second position. |
