发明名称 |
System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset |
摘要 |
A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The method includes receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a shock value for each of a plurality of risk factors within a multi-factor risk model, such that the shock factor is determined based on the received plurality of data, calculating a maximum risk margin for each of the plurality of risk factors, and calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors. |
申请公布号 |
US8108281(B2) |
申请公布日期 |
2012.01.31 |
申请号 |
US20100840885 |
申请日期 |
2010.07.21 |
申请人 |
KOBLAS MICHAL;HADI MUHAMMED;PATEL KETAN B.;DEHDIA ANKEET;WANG MU;CHICAGO MERCANTILE EXCHANGE INC. |
发明人 |
KOBLAS MICHAL;HADI MUHAMMED;PATEL KETAN B.;DEHDIA ANKEET;WANG MU |
分类号 |
G06Q40/00 |
主分类号 |
G06Q40/00 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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