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1.发明授权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公开(公告)号：US08108281B2
公开(公告)日：2012-01-31
申请号：US12840885
申请日：2010-07-21
申请人： Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
发明人： Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
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.
摘要翻译： 公开了一种用于确定与组合内的多个金融工具相关联的保证金要求的方法。 该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，为多因素风险模型中的多个风险因素中的每一个确定冲击值，使得基于所接收到的冲击因子 多个数据，计算多个风险因素中的每一个的最大风险余额，以及基于多个风险因素中的每个风险因子的最大风险余额计算总多元风险边际。
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2.发明申请SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET 有权用于风险偏差的信用违约风险的多因素建模，分析和计算的系统和方法公开(公告)号：US20110035342A1
公开(公告)日：2011-02-10
申请号：US12840885
申请日：2010-07-21
申请人： Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
发明人： Michal Koblas , Muhammed Hadi , Ketan B. Patel , Ankeet Dehdia , Mu Wang
IPC分类号： G06Q90/00
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.
摘要翻译： 公开了一种用于确定与组合内的多个金融工具相关联的保证金要求的方法。 该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，为多因素风险模型中的多个风险因素中的每一个确定冲击值，使得基于所接收到的冲击因子 多个数据，计算多个风险因素中的每一个的最大风险余额，以及基于多个风险因素中的每个风险因子的最大风险余额计算总多元风险边际。
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