发明申请
US20120296850A1 System and Method for Asymmetric Offsets in a Risk Management System
有权
风险管理系统中非对称偏移的系统和方法
- 专利标题: System and Method for Asymmetric Offsets in a Risk Management System
- 专利标题(中): 风险管理系统中非对称偏移的系统和方法
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申请号: US13561997申请日: 2012-07-30
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公开(公告)号: US20120296850A1公开(公告)日: 2012-11-22
- 发明人: Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
- 申请人: Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
- 申请人地址: US IL Chicago
- 专利权人: Chicago Mercantile Exchange Inc.
- 当前专利权人: Chicago Mercantile Exchange Inc.
- 当前专利权人地址: US IL Chicago
- 主分类号: G06Q40/06
- IPC分类号: G06Q40/06
摘要:
A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
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