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. 29, 2013
Filed:
Oct. 06, 2008
Mark A. Rowell, Enfield, GB;
Christopher J. Crowley, New York, NY (US);
F. Charles Doerr, New York, NY (US);
Mark A. Rowell, Enfield, GB;
Christopher J. Crowley, New York, NY (US);
F. Charles Doerr, New York, NY (US);
Creditex Group, Inc., New York, NY (US);
Abstract
Techniques for reducing delta values of credit risk positions in online trading of credit derivatives are disclosed. In one particular exemplary embodiment, a method for reducing delta values may comprise: receiving, in an online trading system of credit derivatives, a plurality of credit risk positions submitted by a plurality of trader clients, each credit risk position having a delta value and a maturity date, wherein each trader client's submission is unknown to other trader clients: identifying, from the plurality of trader clients, at least two trader clients who hold offsetting credit risk positions on at least two maturity dates; determining delta offsets to be applied to delta values of the credit risk positions held by the at least two trader clients and having the at least two maturity dates, such that an overall delta of each of the at least two trader clients' credit risk positions remains substantially unchanged after the application of the delta offsets; calculating, based on the determined delta offsets, notional amounts of credit derivative trades needed to realize the delta offsets; and executing the credit derivative trades among the at least two trader clients.