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. 14, 2013
Filed:
Aug. 21, 2012
Dmitriy Glinberg, Northbrook, IL (US);
Tae S. Yoo, Bartlett, IL (US);
Dale Michaels, Westmont, IL (US);
Edward M. Gogol, Skokie, IL (US);
Dmitriy Glinberg, Northbrook, IL (US);
Tae S. Yoo, Bartlett, IL (US);
Dale Michaels, Westmont, IL (US);
Edward M. Gogol, Skokie, IL (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
Abstract
A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.