System and method for asymmetric offsets in a risk management system
US7509275B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Jan 7, 2005 |
| Grant date | Mar 24, 2009 |
| Priority date | — |
| Expiry date | Jun 13, 2026 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/08
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.