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公开(公告)号：US20240177237A1
公开(公告)日：2024-05-30
申请号：US18409121
申请日：2024-01-10
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A.M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E.S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US11948197B2
公开(公告)日：2024-04-02
申请号：US17942793
申请日：2022-09-12
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US11928734B2
公开(公告)日：2024-03-12
申请号：US17719983
申请日：2022-04-13
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US11023978B2
公开(公告)日：2021-06-01
申请号：US17104403
申请日：2020-11-25
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US20240265457A1
公开(公告)日：2024-08-08
申请号：US18443427
申请日：2024-02-16
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US20220237701A1
公开(公告)日：2022-07-28
申请号：US17719983
申请日：2022-04-13
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US20210224915A1
公开(公告)日：2021-07-22
申请号：US17221052
申请日：2021-04-02
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US20210097619A1
公开(公告)日：2021-04-01
申请号：US17104403
申请日：2020-11-25
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US20230026483A1
公开(公告)日：2023-01-26
申请号：US17942793
申请日：2022-09-12
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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公开(公告)号：US20240273631A1
公开(公告)日：2024-08-15
申请号：US18592845
申请日：2024-03-01
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A.M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E.S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.
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