CA2578095A1 - System and method for asymmetric offsets in a risk management system - Google Patents

System and method for asymmetric offsets in a risk management system Download PDF

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Publication number
CA2578095A1
CA2578095A1 CA002578095A CA2578095A CA2578095A1 CA 2578095 A1 CA2578095 A1 CA 2578095A1 CA 002578095 A CA002578095 A CA 002578095A CA 2578095 A CA2578095 A CA 2578095A CA 2578095 A1 CA2578095 A1 CA 2578095A1
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CA
Canada
Prior art keywords
risk
spread
delta
portfolio
span
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Abandoned
Application number
CA002578095A
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English (en)
French (fr)
Inventor
Dmitriy Glinberg
Tae S. Yoo
Dale A. Michaels
Edward Gogol
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
CME Group Inc
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Individual
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
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Application filed by Individual filed Critical Individual
Publication of CA2578095A1 publication Critical patent/CA2578095A1/en
Abandoned legal-status Critical Current

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    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance

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  • Business, Economics & Management (AREA)
  • Engineering & Computer Science (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Development Economics (AREA)
  • Technology Law (AREA)
  • Theoretical Computer Science (AREA)
  • Strategic Management (AREA)
  • Economics (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Marketing (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Game Theory and Decision Science (AREA)
  • Human Resources & Organizations (AREA)
  • Operations Research (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
  • Management, Administration, Business Operations System, And Electronic Commerce (AREA)
CA002578095A 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system Abandoned CA2578095A1 (en)

Applications Claiming Priority (5)

Application Number Priority Date Filing Date Title
US60873604P 2004-09-10 2004-09-10
US60/608,736 2004-09-10
US11/030,833 2005-01-07
US11/030,833 US7509275B2 (en) 2004-09-10 2005-01-07 System and method for asymmetric offsets in a risk management system
PCT/US2005/031136 WO2006031453A2 (en) 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system

Publications (1)

Publication Number Publication Date
CA2578095A1 true CA2578095A1 (en) 2006-03-23

Family

ID=36035274

Family Applications (1)

Application Number Title Priority Date Filing Date
CA002578095A Abandoned CA2578095A1 (en) 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system

Country Status (5)

Country Link
US (7) US7509275B2 (enExample)
EP (1) EP1812897A4 (enExample)
JP (1) JP5057978B2 (enExample)
CA (1) CA2578095A1 (enExample)
WO (1) WO2006031453A2 (enExample)

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Also Published As

Publication number Publication date
US20090076982A1 (en) 2009-03-19
JP5057978B2 (ja) 2012-10-24
WO2006031453A2 (en) 2006-03-23
US20140032390A1 (en) 2014-01-30
US8249973B2 (en) 2012-08-21
EP1812897A4 (en) 2009-05-13
US7509275B2 (en) 2009-03-24
US20120047091A1 (en) 2012-02-23
US8577774B2 (en) 2013-11-05
EP1812897A2 (en) 2007-08-01
US8073754B2 (en) 2011-12-06
US20120296850A1 (en) 2012-11-22
US11138660B2 (en) 2021-10-05
US20060059066A1 (en) 2006-03-16
US20210398215A1 (en) 2021-12-23
JP2008512777A (ja) 2008-04-24
US20180293653A1 (en) 2018-10-11
US10026123B2 (en) 2018-07-17
WO2006031453A3 (en) 2007-01-18

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