Systems and methods for determining an initial margin

US11023978B2 · kind B2 · utility

Assignee

• Intercontinental Exchange Holdings, Inc. · US

Inventors

• Atsushi Maruyama · London, GB
• Boudewijn Duinstra · Woerden, NL
• Christian A. M. Schlegel · Marietta, US
• Daniel R. de Almeida · Dunwoody, US
• Fernando V. Cerezetti · Orpington, GB
• Gabriel E. S. Medina · London, GB
• Ghais Issa · Atlanta, US
• Iddo Yekutieli · Atlanta, US
• Jerome M. Drean · Atlanta, US
• Marcus Keppeler · London, GB
• Rafik Mrabet · London, GB
• Stephen R. Pounds · Roswell, US
• Wen Jiang · Marietta, US
• Yanyan Hu · London, GB
• Yunke Yang · Atlanta, US

Key dates

• Filing date: Nov 25, 2020
• Grant date: Jun 1, 2021
• Expiry date: Nov 25, 2040

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.