TECHNIQUES FOR REDUCING DELTA VALUES OF CREDIT RISK POSITIONS IN ONLINE TRADING OF CREDIT DERIVATIVES

摘要

Techniques for reducing delta values of credit risk positions in online trading of credit derivatives are disclosed. In one embodiment, an electronic trading system of credit derivatives comprises a processor adapted to communicate with at least one storage device and a user interface to execute instructions to perform the following tasks: receiving a plurality of credit risk positions submitted by a plurality of trader clients, each credit risk position having a delta value and a maturity date; identifying at least two trader clients who hold offsetting credit risk positions on at least two maturity dates; determining delta offsets to be applied to delta values of the credit risk positions, such that an overall delta of each credit risk positions remains substantially unchanged after the application of the delta offsets; calculating notional amounts of credit derivative trades needed to realize the delta offsets; and executing the credit derivative trades.