| 摘要 |
A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed The method includes analyzing, by a processor, a first product and second product in a portfolio, wherein the first product has a first market response in response to market data, and wherein the second product has a second market response in response to the market data Determining, by a processor, a diversification spread, which is representative of an offsetting effect between the first product and the second product, wherein the offsetting effect results from the first market response being substantially different than the second market response in response to similar market data Determining, by the processor, a diversification spread credit based on the diversification spread of the plurality of products, and adjusting, by the processor, a margin requirement for the portfolio based on the diversification spread credit. |
