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:
May. 05, 2020
Filed:
Jan. 20, 2016
Chicago Mercantile Exchange, Inc., Chicago, IL (US);
Jennifer Weng, Brooklyn, NY (US);
Nikhil Joshi, New York, NY (US);
Guo Chen, Chicago, IL (US);
Siwen Yang, Chicago, IL (US);
Zijiang Yang, Chicago, IL (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Abstract
A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.