Invention Grant
US08108281B2 System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset
有权
信用违约掉期风险抵消的多因素建模，分析和保证金的系统和方法
- Patent Title: System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset
- Patent Title (中): 信用违约掉期风险抵消的多因素建模，分析和保证金的系统和方法
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Application No.: US12840885Application Date: 2010-07-21
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Publication No.: US08108281B2Publication Date: 2012-01-31
- Inventor: Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
- Applicant: Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
- Applicant Address: US IL Chicago
- Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee Address: US IL Chicago
- Agency: Brinks Hofer Gilson & Lione
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
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.
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