Multi-asset portfolio simulation (MAPS)

US10102581B2 · kind B2 · utility

Assignee

• Intercontinental Exchange Holdings, Inc. · US

Inventors

• Michael G. Weber · Leatherhead, GB
• Stanislav I. Ivanov · Clarendon Hills, US
• Charles Vice · Roswell, US
• Michael Gibson · Witham, GB
• Yunke Yang · Atlanta, US
• Vikram Atre · Smyrna, US
• Joshua I. Shapiro · Atlanta, US
• Judson H. Morrison · Atlanta, US
• Bradley D. Shively · Marietta, US
• Sidhartha Routray · Eindhoven, NL
• Michael A. Hopper · Duluth, US
• Thomas W. Jefson · Sandy Springs, US
• R J Cummings · Decatur, US
• Jacob S. Ensign · Decatur, US
• Jeremy K. O'Shields · Atlanta, US
• Stephen R. Pounds · Roswell, US
• Eric D. J. Shepherd · Woodstock, US
• Ismail Iyigunler · Atlanta, US

Key dates

• Filing date: Jun 13, 2014
• Grant date: Oct 16, 2018
• Expiry date: Aug 6, 2034

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

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.