公开(公告)号：US20070294158A1

公开(公告)日：2007-12-20

申请号：US11845198

申请日：2007-08-27

申请人： Ketan Patel ,  Amy Stephen ,  Dmitriy Glinberg ,  Dale Michaels

发明人： Ketan Patel ,  Amy Stephen ,  Dmitriy Glinberg ,  Dale Michaels

IPC分类号： G06Q40/00 ,  G06F17/10

CPC分类号： G06Q40/06

摘要： A system and method for analyzing, administering and managing risk for portfolio including at least one product having substantially asymmetric risk exposures is disclosed. The system and method includes determining a first margin for a first position associated with a financial product, wherein the financial product represents an event having disparate risk positions, and determining a second margin for a second position associated with the financial product, wherein the second margin is related to the first margin as an exponential function. The system and method further include calculating a cash flow according to the first margin for the first position and the second margin for the second position.

摘要翻译： 公开了一种用于分析，管理和管理投资组合风险的系统和方法，包括至少一种具有基本上不对称风险敞口的产品。 该系统和方法包括确定与金融产品相关联的第一位置的第一边距，其中所述金融产品表示具有不同风险位置的事件，以及确定与所述金融产品相关联的第二位置的第二边距，其中所述第二边距 与第一笔保证金作为指数函数有关。 该系统和方法还包括根据第一位置的第一余量和第二位置的第二余量来计算现金流量。

公开(公告)号：US20090171826A1

公开(公告)日：2009-07-02

申请号：US11965530

申请日：2007-12-27

申请人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Ketan Patel

发明人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Ketan Patel

IPC分类号： G06Q40/00

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

摘要： Systems, processes and methods are described for converting over-the-counter derivative products such as interest rate swaps (IRSs) to standardized forward swaps, such as centrally cleared interest rate swaps. The value of each leg of the over-the counter swap may be determined and compared to a value of a corresponding leg of the forward swap. A mark-to-market value may be determined as the difference between the values.

摘要翻译： 描述了系统，流程和方法，用于将诸如利率互换（IRS）之类的非处方衍生产品转换为标准化远期互换，例如集中清算的利率互换。 可以确定跨计数器交换的每个支路的值并将其与前向交换的相应支路的值进行比较。 可以将市价值确定为值之间的差。

公开(公告)号：US20090157561A1

公开(公告)日：2009-06-18

申请号：US11954656

申请日：2007-12-12

申请人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Suneel Iyer ,  Ketan Patel

发明人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Suneel Iyer ,  Ketan Patel

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： A method of liquidating defaulted positions associated with centrally cleared financial product is disclosed. The method includes identifying a defaulted position associated with a centrally cleared financial product, calculating a value differential between the defaulted position and a standard position, offering the value differential and the standard position to a party such that the value differential and the standard position represent a converted position, and settling the converted position upon acceptance of the offer by the party.

摘要翻译： 披露了清算与中央清算的金融产品相关的违约头寸的方法。 该方法包括识别与中央清算的金融产品相关联的默认位置，计算默认位置和标准位置之间的差值，向一方提供价值差异和标准位置，使得差值和标准位置代表一个 转换头寸，并在接受当事人的要约后解决转换头寸。

公开(公告)号：US20120047063A1

公开(公告)日：2012-02-23

申请号：US13283280

申请日：2011-10-27

申请人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Ketan Patel

发明人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Ketan Patel

IPC分类号： G06Q40/04

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

摘要： Systems, processes and methods are described for converting over-the-counter derivative products such as interest rate swaps (IRSs) to standardized forward swaps, such as centrally cleared interest rate swaps. The value of each leg of the over-the counter swap may be determined and compared to a value of a corresponding leg of the forward swap. A mark-to-market value may be determined as the difference between the values.

摘要翻译： 描述了系统，流程和方法，用于将诸如利率互换（IRS）之类的非处方衍生产品转换为标准化远期互换，例如集中清算的利率互换。 可以确定跨计数器交换的每个支路的值并将其与前向交换的相应支路的值进行比较。 可以将市价值确定为值之间的差。

公开(公告)号：US08751350B2

公开(公告)日：2014-06-10

申请号：US11954656

申请日：2007-12-12

申请人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Suneel Iyer ,  Ketan Patel

发明人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Suneel Iyer ,  Ketan Patel

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06

摘要： A method of liquidating defaulted positions associated with centrally cleared financial product is disclosed. The method includes identifying a defaulted position associated with a centrally cleared financial product, calculating a value differential between the defaulted position and a standard position, offering the value differential and the standard position to a party such that the value differential and the standard position represent a converted position, and settling the converted position upon acceptance of the offer by the party.

摘要翻译： 披露了清算与中央清算的金融产品相关的违约头寸的方法。 该方法包括识别与中央清算的金融产品相关联的默认位置，计算默认位置和标准位置之间的差值，向一方提供价值差异和标准位置，使得差值和标准位置代表一个 转换头寸，并在接受当事人的要约后解决转换头寸。

公开(公告)号：US08117110B2

公开(公告)日：2012-02-14

申请号：US11965530

申请日：2007-12-27

申请人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Ketan Patel

发明人： Muhammed Hadi ,  Dale Michaels ,  Amy Stephen ,  Ketan Patel

IPC分类号： G06Q40/00

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

摘要： Systems, processes and methods are described for converting over-the-counter derivative products such as interest rate swaps (IRSs) to standardized forward swaps, such as centrally cleared interest rate swaps. The value of each leg of the over-the counter swap may be determined and compared to a value of a corresponding leg of the forward swap. A mark-to-market value may be determined as the difference between the values.

摘要翻译： 描述了系统，流程和方法，用于将诸如利率互换（IRS）之类的非处方衍生产品转换为标准化远期互换，例如集中清算的利率互换。 可以确定跨计数器交换的每个支路的值并将其与前向交换的相应支路的值进行比较。 可以将市价值确定为值之间的差。

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。

公开(公告)号：US20060265296A1

公开(公告)日：2006-11-23

申请号：US11030815

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae Yoo ,  Jodi Abudarham ,  Dale Michaels

发明人： Dmitriy Glinberg ,  Tae Yoo ,  Jodi Abudarham ,  Dale Michaels

IPC分类号： G06Q40/00

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).

公开(公告)号：US20060059069A1

公开(公告)日：2006-03-16

申请号：US11031182

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： G06Q40/04 ,  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.

公开(公告)号：US20060277134A1

公开(公告)日：2006-12-07

申请号：US11504379

申请日：2006-08-15

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale Michaels

IPC分类号： G06Q40/00

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.