公开(公告)号：US20120296850A1

公开(公告)日：2012-11-22

申请号：US13561997

申请日：2012-07-30

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/06

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

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.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

公开(公告)号：US08249973B2

公开(公告)日：2012-08-21

申请号：US13284336

申请日：2011-10-28

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

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.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

公开(公告)号：US20120072373A1

公开(公告)日：2012-03-22

申请号：US13300881

申请日：2011-11-21

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.

摘要翻译： 公开了一种用于确定固定回报产品的履约保证金的系统和方法，即基于潜在事件的结果而支付固定金额的合同，而不管其价值如何。 计算可能包含更多多个工具的整体投资组合的最糟糕的结果，允许投资组合在同一基础事件上兼顾长仓和空头头寸，并在投资组合中的工具之间进行抵消。 构建结果的整体包括具有单一结果的单事件及其概率，以及具有多个结果的单个事件，每个具有概率。 每个结果都有相关的价格和概率。 低概率事件将具有较低的值，导致较低的保证金要求。 因此，保证金要求是根据其概率进行调整的投资组合对潜在事件的任何可能结果所能承受的最大损失的金额。

公开(公告)号：US08103578B2

公开(公告)日：2012-01-24

申请号：US12559905

申请日：2009-09-15

申请人： Michal Koblas ,  Mohammed Hadi ,  Ketan B. Patel ,  Dmitriy Glinberg

发明人： Michal Koblas ,  Mohammed Hadi ,  Ketan B. Patel ,  Dmitriy Glinberg

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/025 ,  G06Q40/06

摘要： A system and method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method include receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a systematic risk margin based on at least a portion of the received plurality of data, determining a curve risk margin based on at least a second portion of the received plurality of data, determining a convergence and divergence risk margin based on at least a third portion of the received plurality of data, determining a sector risk margin based on at least a fourth portion of the received plurality of data, determining an idiosyncratic risk margin based on at least a fifth portion of the received plurality of data, determining a liquidity risk margin based on at least a sixth portion of the received plurality of data, determining a basis risk margin based on at least a seventh portion of the received plurality of data, and calculating a multi-factor risk margin based on one more of the determined risk factors.

摘要翻译： 公开了一种用于确定与投资组合内的多个金融工具相关联的保证金要求的系统和方法。 该系统和方法包括接收与投资组合内的多个金融工具相关联的多个数据，基于所接收的多个数据的至少一部分来确定系统风险余额，基于至少第二个 接收的多个数据的一部分，基于所接收的多个数据的至少第三部分确定收敛和发散风险余额，基于所接收的多个数据的至少第四部分确定扇区风险余量，确定一个 基于接收到的多个数据的至少五分之一的特殊风险余额，基于所接收的多个数据的至少第六部分确定流动性风险余额，基于至少第七部分的 收到多个数据，并根据确定的危险因素中的一个以上计算多因素风险余额。

公开(公告)号：US20100257122A1

公开(公告)日：2010-10-07

申请号：US12815013

申请日：2010-06-14

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Jodi L. Abudarham ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Jodi L. Abudarham ,  Dale A. Michaels

IPC分类号： G06Q40/00 ,  G06F17/30

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).

摘要翻译： 披露了将交易者交易活动纳入保证金要求的制度和方法。 在证券领域，日间交易商的差价比非日交易者的利润率进行评估，然而，分析了交易者的具体情况（也就是同一规则适用于全天交易者）。

公开(公告)号：US20090299916A1

公开(公告)日：2009-12-03

申请号：US12540765

申请日：2009-08-13

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/025 ,  G06Q40/04

摘要： A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes analyzing, by a processor, a first product in a portfolio, wherein the first product has a first market response in response to market data, analyzing, by a processor, a second product in a portfolio, wherein the second product has a second market response in response to the market data, determining, by a processor, a diversification spread, the diversification spread representative of an offsetting effect between the first product and the second product, wherein the offsetting effect results from the first market response being substantially different than the second market response in response to similar market data, determining, by the processor, a diversification spread credit based on the diversification spread of the plurality of products, and adjusting, by the processor, a margin requirement for the portfolio based on the diversification spread credit.

摘要翻译： 公开了一种用于分析与包括在交易所上交易的多个产品的投资组合相关联的风险偏移的计算机实现的方法。 该方法包括由处理器分析投资组合中的第一产品，其中第一产品响应于市场数据具有第一市场响应，由处理器分析投资组合中的第二产品，其中第二产品具有 响应于市场数据的第二市场响应，由处理器确定多样化扩展，表示第一产品和第二产品之间的抵消效应的多样化扩展，其中来自第一市场响应的抵消效应基本上不同 比第二次市场响应响应类似的市场数据，由处理器确定基于多个产品的多样化扩展的多元化传播信用，并且由处理器调整基于多样化的投资组合的保证金要求 传播信用。

公开(公告)号：US07593879B2

公开(公告)日：2009-09-22

申请号：US11504379

申请日：2006-08-15

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

IPC分类号： G06Q99/00

CPC分类号： G06Q40/06 ,  G06Q40/00

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.

摘要翻译： 公开了一种用于分析包含各种不同产品的投资组合的系统和方法。 系统和方法确定投资组合内的产品之间的相关程度或非范围，以抵消与投资组合相关的风险。 因此，如果投资组合内的产品被确定为多元化和不相关的，则可以将投资组合的信贷分配或应用于投资组合或与投资组合相关联的初始保证金，以确定基于多元化利差的履约保证金或保证金，以反映确定 风险投资组合。

公开(公告)号：US07593877B2

公开(公告)日：2009-09-22

申请号：US11031182

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q99/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.

摘要翻译： 披露了基于一套灵活规则进行衍生产品组合风险分析的系统和方法。 系统和方法允许创建预定义的产品集，以期将来的风险抵消。 如果期货交易作为满足阈值水平的该组产品的子集，则该子集被分配预定义集合的偏移值（或偏移值的比例或其他部分）。 例如，假设预定义的集合包含一个标准普尔500期货，一个纳斯达克期货，一个标普中盘400期货和一个罗素1000期货，阈值为三。 如果期货交易员持有这四个期货中的三个期货，则可以对三个期货进行分组，分配一个抵消价值，该组可作为一个资产用于进一步的风险抵消。

公开(公告)号：US20070118455A1

公开(公告)日：2007-05-24

申请号：US11452653

申请日：2006-06-14

申请人： William Albert ,  Lori Flemm ,  Paul Bauerschmidt ,  Paul Callaway ,  Dmitriy Glinberg ,  Edward Gogol ,  Stephen Goldman ,  Andrew Greta ,  Bryan Hunter ,  Matthew Kelly ,  John Labuszewski ,  Paul Lichter ,  Jeffrey Mitchell ,  Ari Studnitzer ,  Shanthi Thiruthuvadoss ,  Tae Seok Yoo

发明人： William Albert ,  Lori Flemm ,  Paul Bauerschmidt ,  Paul Callaway ,  Dmitriy Glinberg ,  Edward Gogol ,  Stephen Goldman ,  Andrew Greta ,  Bryan Hunter ,  Matthew Kelly ,  John Labuszewski ,  Paul Lichter ,  Jeffrey Mitchell ,  Ari Studnitzer ,  Shanthi Thiruthuvadoss ,  Tae Seok Yoo

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04

摘要： The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.

摘要翻译： 所披露的系统和方法涉及允许在集中式配对清算机制（例如芝加哥商品交易所（CME））期货交易柜台（“OTC”）外汇交易（“外汇”）合约 交换系统（“交换”）。 所披露的系统和方法允许匿名交易，集中清算，有效结算和提供风险管理/信用审查机制，降低风险，降低交易成本，提高外汇市场的流动性。 特别地，所公开的实施例增加执行速度，促进对算法交易的日益增长的需求，增加的价格透明度，降低交易成本，客户到客户交易以及自动资产分配，经常性交易以及结算和结算效率。

公开(公告)号：US20060059067A1

公开(公告)日：2006-03-16

申请号：US11030849

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae Yoo ,  Dale Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae Yoo ,  Dale Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both. Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome.

摘要翻译： 公开了一种用于确定与固定收益产品相关的履约保证金的系统和方法，即基于底层事件的结果而支付固定金额的合约，而不管基础事件的特定价值如何。 计算可能包含多个仪器的整体投资组合的最糟糕的结果。 这允许投资组合在相同的底层事件和偏移量上具有长仓和短仓。 长期（买入但并非封闭）和短期（已出售但未结算）的头寸，投资组合中的工具都被考虑在内。构建了一个结果的宇宙，包括具有单一结果的单一事件及其概率，单个事件与 多个结果，每个都有概率。 这个宇宙是以不同结果的矩阵概率来实现的，也称为“罢工”。 每个罢工/结果都具有相关的价格和概率，通常被认为是反映两者的单一价值。 低概率的事件将具有较低的价值，导致较低的保证金要求，如下所述。 然后将保证金要求/履约保证金设置为等于投资组合对潜在事件的任何可能结果所能承受的最大损失的金额，并根据结果的可能性进行调整。