发明授权
US07593879B2 System and method for using diversification spreading for risk offset
有权
使用多元化传播风险抵消的制度和方法
- 专利标题： System and method for using diversification spreading for risk offset
- 专利标题（中）： 使用多元化传播风险抵消的制度和方法
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申请号： US11504379申请日： 2006-08-15
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公开(公告)号： US07593879B2公开(公告)日： 2009-09-22
- 发明人: Dmitriy Glinberg , Edward Gogol , Dale A. Michaels
- 申请人： Dmitriy Glinberg , Edward Gogol , Dale A. Michaels
- 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
- 代理机构： Brinks Hofer Gilson & Lione
- 主分类号： G06Q99/00
- IPC分类号： G06Q99/00
摘要：
A system and method for analyzing a portfolio that includes a variety of diverse products is disclosed. The system and method determines the extent or non-extent of the correlation between the products within the portfolio in order to offset the risk associated with the portfolio. Thus, if the products within the portfolio are determined to be diverse and uncorrelated, a credit can be assigned or applied to the portfolio or an initial margin associated with the portfolio in order to determine a diversification spread based performance bond or margin that reflects the determined risk of the portfolio.
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