Creditex Group, Inc.

F Charles Doerr

Sunil G Hirani

Mazyar Majid Dar

Mark A Rowell

Christopher J Crowley

Scott Hassal

Techniques for reducing delta values of credit risk positions in online trading of credit derivatives are disclosed. In one particular exemplary embodiment, a method for reducing delta values may comprise: receiving, in an online trading system of credit derivatives, a plurality of credit risk positions submitted by a plurality of trader clients, each credit risk position having a delta value and a maturity date, wherein each trader client's submission is unknown to other trader clients: identifying, from the plurality of trader clients, at least two trader clients who hold offsetting credit risk positions on at least two maturity dates; determining delta offsets to be applied to delta values of the credit risk positions held by the at least two trader clients and having the at least two maturity dates, such that an overall delta of each of the at least two trader clients' credit risk positions remains substantially unchanged after the application of the delta offsets; calculating, based on the determined delta offsets, notional amounts of credit derivative trades needed to realize the delta offsets; and executing the credit derivative trades among the at least two trader clients.

Techniques for reducing delta values of credit risk positions in online trading of credit derivatives

Disclosed are methods and systems for transacting credit derivatives. The methods and systems allow for the calculation of the final cash settlement prices for credit derivatives following a credit event, such as a corporate bankruptcy.

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New York, NY, United States of America

F Charles Doerr