System and method for using diversification spreading for risk offset
US7593879B2 · kind B2 · utility
16Cited by
8References
18Claims
0Family size
Assignee
Inventors
Key dates
| Filing date | Aug 15, 2006 |
| Grant date | Sep 22, 2009 |
| Priority date | — |
| Expiry date | Apr 26, 2027 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/00
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A system and method for analyzing a portfolio that includes a variety of diverse products is disclosed. The system and method determines the extent or non-extent of the correlation between the products within the portfolio in order to offset the risk associated with the portfolio. Thus, if the products within the portfolio are determined to be diverse and uncorrelated, a credit can be assigned or applied to the portfolio or an initial margin associated with the portfolio in order to determine a diversification spread based performance bond or margin that reflects the determined risk of the portfolio.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.