The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Oct. 01, 2019
Filed:
May. 07, 2015
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Evren Baysal, Chicago, IL (US);
Kailin Ding, Chicago, IL (US);
Nick Li, Chicago, IL (US);
Lu Lu, Pittsburgh, PA (US);
Chao Wang, Chicago, IL (US);
Panos Xythalis, Scotch Plains, NJ (US);
Alice Yang, Chicago, IL (US);
Jun Zhai, Chicago, IL (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Abstract
Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.