Chicago Mercantile Exchange Inc.

Edmund Li

Dmitriy Glinberg

Feliks Landa

Jalpan Shah

Udesh Jha

Adam Olszewski

A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors.

PCA-based portfolio margining

A set of estimated allocations N(X) through N(X) of portfolio positions to products Xthrough Xmay be determined, with products Xthrough Xincluding portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCmay be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCmay be output.

Growing community of inventors

Chicago, IL, United States of America

Edmund Li