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. 03, 2022
Filed:
Nov. 19, 2021
Intercontinental Exchange Holdings, Inc., Atlanta, GA (US);
Atsushi Maruyama, London, GB;
Boudewijn Duinstra, Woerden, NL;
Christian A. M. Schlegel, Marietta, GA (US);
Daniel R. de Almeida, Dunwoody, GA (US);
Fernando V. Cerezetti, Orpington, GB;
Gabriel E. S. Medina, London, GB;
Ghais Issa, Atlanta, GA (US);
Iddo Yekutieli, Atlanta, GA (US);
Jerome M. Drean, Atlanta, GA (US);
Marcus Keppeler, London, GB;
Rafik Mrabet, London, GB;
Stephen R. Pounds, Roswell, GA (US);
Wen Jiang, Marietta, GA (US);
Yanyan Hu, London, GB;
Yunke Yang, Atlanta, GA (US);
Intercontinental Exchange Holdings, Inc., Atlanta, GA (US);
Abstract
An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.