发明授权
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
- 专利标题： System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset
- 专利标题（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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申请号： US12840885申请日： 2010-07-21
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公开(公告)号： US08108281B2公开(公告)日： 2012-01-31
- 发明人: Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
- 申请人： Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
- 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： G06Q40/00
- IPC分类号： G06Q40/00
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.
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