Margin requirement determination and modeling for cleared credit
US10430880B2 · kind B2 · utility
5Cited by
1References
17Claims
0Family size
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Key dates
| Filing date | May 7, 2015 |
| Grant date | Oct 1, 2019 |
| Priority date | — |
| Expiry date | Jul 30, 2036 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.