SYSTEMS AND METHODS FOR DETERMINING AN INITIAL MARGIN CROSS-REFERENCE TO RELATED APPLICATIONS

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...

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Bibliographic Details
Main Authors Yang, Yunke, Maruyama, Atsushi, Drean, Jerome M, Duinstra, Boudewijn, Keppeler, Marcus, Hu, Yanyan, Schlegel, Christian A. M, Pounds, Stephen R, Jiang, Wen, Issa, Ghais, Mrabet, Rafik, Cerezetti, Fernando V, Yekutieli, Iddo, de Almeida, Daniel R, Medina, Gabriel E. S
Format Patent
LanguageEnglish
French
German
Published 04.08.2021
Subjects
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Summary: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.
Bibliography:Application Number: EP20200156886