Systems and methods for determining an initial margin
US11954734B2 · kind B2 · utility
0Cited by
13References
8Claims
0Family size
Assignee
Inventors
Key dates
| Filing date | Sep 12, 2022 |
| Grant date | Apr 9, 2024 |
| Priority date | — |
| Expiry date | Sep 12, 2042 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical 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.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.