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:
Jan. 31, 2012
Filed:
Jul. 21, 2010
Michal Koblas, Praha, CZ;
Muhammed Hadi, New York, NY (US);
Ketan B. Patel, Hanover Park, IL (US);
Ankeet Dehdia, Chicago, IL (US);
Mu Wang, Mt. Pleasant, MI (US);
Michal Koblas, Praha, CZ;
Muhammed Hadi, New York, NY (US);
Ketan B. Patel, Hanover Park, IL (US);
Ankeet Dehdia, Chicago, IL (US);
Mu Wang, Mt. Pleasant, MI (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Abstract
A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The method includes receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a shock value for each of a plurality of risk factors within a multi-factor risk model, such that the shock factor is determined based on the received plurality of data, calculating a maximum risk margin for each of the plurality of risk factors, and calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors.