System and method for efficiently using collateral for risk offset
US7426487B2 · kind B2 · utility
26Cited by
8References
12Claims
0Family size
Assignee
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Key dates
| Filing date | Jan 7, 2005 |
| Grant date | Sep 16, 2008 |
| Priority date | — |
| Expiry date | Jun 26, 2026 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.