CA2578151A1 - System and method for efficiently using collateral for risk offset - Google Patents

System and method for efficiently using collateral for risk offset Download PDF

Info

Publication number
CA2578151A1
CA2578151A1 CA002578151A CA2578151A CA2578151A1 CA 2578151 A1 CA2578151 A1 CA 2578151A1 CA 002578151 A CA002578151 A CA 002578151A CA 2578151 A CA2578151 A CA 2578151A CA 2578151 A1 CA2578151 A1 CA 2578151A1
Authority
CA
Canada
Prior art keywords
risk
spread
value
portfolio
delta
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
CA002578151A
Other languages
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
Original Assignee
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
Publication date
Application filed by Individual filed Critical Individual
Publication of CA2578151A1 publication Critical patent/CA2578151A1/en
Abandoned legal-status Critical Current

Links

Classifications

    • 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

Landscapes

  • 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)
CA002578151A 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset Abandoned CA2578151A1 (en)

Applications Claiming Priority (5)

Application Number Priority Date Filing Date Title
US60874204P 2004-09-10 2004-09-10
US60/608,742 2004-09-10
US11/030,796 2005-01-07
US11/030,796 US7426487B2 (en) 2004-09-10 2005-01-07 System and method for efficiently using collateral for risk offset
PCT/US2005/031137 WO2006031454A2 (en) 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset

Publications (1)

Publication Number Publication Date
CA2578151A1 true CA2578151A1 (en) 2006-03-23

Family

ID=36035272

Family Applications (1)

Application Number Title Priority Date Filing Date
CA002578151A Abandoned CA2578151A1 (en) 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset

Country Status (5)

Country Link
US (4) US7426487B2 (enExample)
EP (1) EP1787255A4 (enExample)
JP (1) JP5512085B2 (enExample)
CA (1) CA2578151A1 (enExample)
WO (1) WO2006031454A2 (enExample)

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
WO2008152500A3 (en) * 2007-06-13 2011-04-21 First Coverage Inc. System for facilitating objective evaluation of the performance of sell-side professionals

Families Citing this family (75)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US8095508B2 (en) 2000-04-07 2012-01-10 Washington University Intelligent data storage and processing using FPGA devices
US7139743B2 (en) 2000-04-07 2006-11-21 Washington University Associative database scanning and information retrieval using FPGA devices
US6711558B1 (en) 2000-04-07 2004-03-23 Washington University Associative database scanning and information retrieval
US20040236673A1 (en) * 2000-10-17 2004-11-25 Eder Jeff Scott Collaborative risk transfer system
US20090161568A1 (en) * 2007-12-21 2009-06-25 Charles Kastner TCP data reassembly
US7716330B2 (en) 2001-10-19 2010-05-11 Global Velocity, Inc. System and method for controlling transmission of data packets over an information network
US7711844B2 (en) * 2002-08-15 2010-05-04 Washington University Of St. Louis TCP-splitter: reliable packet monitoring methods and apparatus for high speed networks
US10572824B2 (en) 2003-05-23 2020-02-25 Ip Reservoir, Llc System and method for low latency multi-functional pipeline with correlation logic and selectively activated/deactivated pipelined data processing engines
AU2004273406A1 (en) 2003-05-23 2005-03-24 Data Search Systems, Inc. Intelligent data storage and processing using FPGA devices
US7890412B2 (en) * 2003-11-04 2011-02-15 New York Mercantile Exchange, Inc. Distributed trading bus architecture
US7602785B2 (en) 2004-02-09 2009-10-13 Washington University Method and system for performing longest prefix matching for network address lookup using bloom filters
US20090276367A1 (en) * 2008-04-30 2009-11-05 Rosenthal Collins Group, L.L.C. Method and system for providing risk management for multi-market electronic trading
WO2006023948A2 (en) * 2004-08-24 2006-03-02 Washington University Methods and systems for content detection in a reconfigurable hardware
US7769667B2 (en) * 2004-09-10 2010-08-03 Chicago Mercantile Exchange Inc. System and method for activity based margining
US7426487B2 (en) * 2004-09-10 2008-09-16 Chicago Mercantile Exchange, Inc. System and method for efficiently using collateral for risk offset
WO2006121948A2 (en) * 2005-05-06 2006-11-16 Intercontinental Exchange, Inc. Over the counter traded product and system for offset and contingent trading of commodity contracts
US7577600B1 (en) * 2005-06-30 2009-08-18 Trading Technologies International, Inc. System and method for regulating order entry in an electronic trading environment
US7801810B2 (en) * 2005-11-18 2010-09-21 Chicago Mercantile Exchange Inc. Hybrid cross-margining
WO2007061857A2 (en) 2005-11-18 2007-05-31 Chicago Mercantile Exchange Multiple quote risk management
US10726479B2 (en) * 2005-11-18 2020-07-28 Chicago Mercantile Exchange Inc. System and method for centralized clearing of over the counter foreign exchange instruments
US20070118455A1 (en) * 2005-11-18 2007-05-24 Albert William J System and method for directed request for quote
US7954114B2 (en) 2006-01-26 2011-05-31 Exegy Incorporated Firmware socket module for FPGA-based pipeline processing
US7840482B2 (en) * 2006-06-19 2010-11-23 Exegy Incorporated Method and system for high speed options pricing
US7921046B2 (en) 2006-06-19 2011-04-05 Exegy Incorporated High speed processing of financial information using FPGA devices
US8341064B2 (en) * 2006-09-12 2012-12-25 Chicago Mercantile Exchange, Inc. Standardization and management of over-the-counter financial instruments
US8762252B2 (en) 2007-08-20 2014-06-24 Chicago Mercantile Exchange Inc. Out of band credit control
US20090089200A1 (en) * 2007-08-20 2009-04-02 Chicago Mercantile Exchange Inc. Pre-execution credit control
US7987135B2 (en) * 2007-08-20 2011-07-26 Chicago Mercantile Exchange, Inc. Out of band credit control
US7996301B2 (en) 2007-08-20 2011-08-09 Chicago Mercantile Exchange, Inc. Out of band credit control
US8756146B2 (en) 2007-08-20 2014-06-17 Chicago Mercantile Exchange Inc. Out of band credit control
EP2212850A4 (en) * 2007-11-14 2011-05-25 Creditex Group Inc TECHNIQUES TO REDUCE DELTA VALUES FROM CREDIT RISK POSITIONS IN ONLINE TRADE WITH CREDIT DERIVATIVES
US10229453B2 (en) 2008-01-11 2019-03-12 Ip Reservoir, Llc Method and system for low latency basket calculation
WO2010024316A1 (ja) * 2008-08-28 2010-03-04 株式会社マネースクウェア・ジャパン 取引管理装置および読出可能記憶媒体
CA3184014A1 (en) 2008-12-15 2010-07-08 Exegy Incorporated Method and apparatus for high-speed processing of financial market depth data
SG162630A1 (en) * 2008-12-16 2010-07-29 Standard Chartered Bank System and method for securing a letter of credit through hedging of derivatives
KR20100126752A (ko) * 2008-12-26 2010-12-02 가부시키가이샤 머니 스퀘어 재팬 거래 관리 장치 및 판독 가능한 기억 매체
US8768820B2 (en) * 2008-12-29 2014-07-01 Chicago Mercantile Exchange Inc. Collateralized lending using a central counterparty
US8229835B2 (en) 2009-01-08 2012-07-24 New York Mercantile Exchange, Inc. Determination of implied orders in a trade matching system
US20100223177A1 (en) * 2009-02-27 2010-09-02 Michael Vasinkevich Method, system and financial product for transferring shares through a primary issuer market
US20120011045A1 (en) * 2010-02-26 2012-01-12 Rodman & Renshaw, Llc Method and system for identifying parties with concentrated positions in securities
CN101956647B (zh) * 2009-07-15 2012-12-19 鸿富锦精密工业（深圳）有限公司 潮汐能发电装置
US20110054948A1 (en) * 2009-08-31 2011-03-03 Sap Ag Fiduciary cash flow data management
US8417618B2 (en) * 2009-09-03 2013-04-09 Chicago Mercantile Exchange Inc. Utilizing a trigger order with multiple counterparties in implied market trading
US8266030B2 (en) 2009-09-15 2012-09-11 Chicago Mercantile Exchange Inc. Transformation of a multi-leg security definition for calculation of implied orders in an electronic trading system
US20110066537A1 (en) * 2009-09-15 2011-03-17 Andrew Milne Implied volume analyzer
US8255305B2 (en) * 2009-09-15 2012-08-28 Chicago Mercantile Exchange Inc. Ratio spreads for contracts of different sizes in implied market trading
US8589278B2 (en) * 2009-09-30 2013-11-19 Trading Technologies International, Inc. System and method for using order modifiers in relation to trading strategies
US8229838B2 (en) 2009-10-14 2012-07-24 Chicago Mercantile Exchange, Inc. Leg pricer
US8639601B2 (en) * 2010-06-01 2014-01-28 Chicago Mercantile Exchange Inc. Calendar spread futures
US9710853B2 (en) 2010-07-08 2017-07-18 The Bank Of New York Mellon System and method for computer implemented collateral management
US8145552B2 (en) * 2010-07-08 2012-03-27 The Bank Of New York Mellon System and method for computer implemented collateral management
US8538849B2 (en) 2010-07-26 2013-09-17 Barclays Capital Inc. Methods and systems regarding volatility risk premium index
US8447675B2 (en) * 2010-10-26 2013-05-21 Gold Innovations, Llc Methods and apparatus for recording legal tender decomposition of accounting system entries
US20120130880A1 (en) * 2010-11-23 2012-05-24 Trading Technologies International, Inc. Systems and Methods for Product-Level and Contract-Level Risk Computations and Management
US8639609B2 (en) * 2010-12-09 2014-01-28 Chicago Mercantile Exchange Inc. Cross margining of tri-party repo transactions
WO2012079041A1 (en) 2010-12-09 2012-06-14 Exegy Incorporated Method and apparatus for managing orders in financial markets
TWI384412B (zh) * 2012-02-16 2013-02-01 Fu Chung Kuo 履約保證金流風險管理系統
US10650452B2 (en) 2012-03-27 2020-05-12 Ip Reservoir, Llc Offload processing of data packets
US11436672B2 (en) 2012-03-27 2022-09-06 Exegy Incorporated Intelligent switch for processing financial market data
US10121196B2 (en) 2012-03-27 2018-11-06 Ip Reservoir, Llc Offload processing of data packets containing financial market data
US9990393B2 (en) 2012-03-27 2018-06-05 Ip Reservoir, Llc Intelligent feed switch
US8930267B1 (en) * 2012-08-27 2015-01-06 Jpmorgan Chase Bank, N.A. Automated transactions clearing system and method
US20140108293A1 (en) * 2012-09-14 2014-04-17 Optionshop. Inc. Systems and methods for trading, tracking, and managing configurable portfolio baskets
US20140100989A1 (en) * 2012-10-04 2014-04-10 Valuerz, Inc. Systems and methods for deetermining a fair price range for commodities
US20140164201A1 (en) * 2012-12-06 2014-06-12 Chicago Mercantile Exchange Inc. Price Alignment Interest in Collateralized Financial Instruments
US10922755B2 (en) 2013-06-17 2021-02-16 Intercontinental Exchange Holdings, Inc. Systems and methods for determining an initial margin
US20150112889A1 (en) * 2013-10-18 2015-04-23 Chicago Mercantile Exchange, Inc. Achieving margin capital efficiencies using linear programming
US20150170272A1 (en) * 2013-12-13 2015-06-18 Chicago Mercantile Exchange Inc. Offset Options
US10643278B2 (en) 2016-01-20 2020-05-05 Chicago Mercantile Exchange Inc. Futures margin modeling system
US11270377B1 (en) 2016-04-01 2022-03-08 Chicago Mercantile Exchange Inc. Compression of an exchange traded derivative portfolio
JP6681257B2 (ja) * 2016-04-25 2020-04-15 株式会社野村総合研究所 証券業務支援システムおよび証拠金計算方法
US10867360B1 (en) 2016-10-28 2020-12-15 Chicago Mercantile Exchange Inc. Electric battery recharging unit controlled by a seasonality detection unit of a futures margin modeling system
WO2018119035A1 (en) 2016-12-22 2018-06-28 Ip Reservoir, Llc Pipelines for hardware-accelerated machine learning
TWI874445B (zh) * 2019-09-04 2025-03-01 新加坡商Ｈｄｒ新加坡私人有限公司 行動數位貨幣期貨交易的系統與方法
CN111192047B (zh) * 2019-12-26 2023-10-20 天地融科技股份有限公司 基于非对称算法的车载单元收费方法

Family Cites Families (64)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6263321B1 (en) * 1994-07-29 2001-07-17 Economic Inventions, Llc Apparatus and process for calculating an option
US5884286A (en) * 1994-07-29 1999-03-16 Daughtery, Iii; Vergil L. Apparatus and process for executing an expirationless option transaction
US5557517A (en) * 1994-07-29 1996-09-17 Daughterty, Iii; Vergil L. System and method for determining the price of an expirationless American option and issuing a buy or sell ticket on the current price and portfolio
US5779829A (en) * 1995-08-24 1998-07-14 The Goodyear Tire & Rubber Company Pneumatic tire having a single carcass ply reinforced with metallic cords, a high ending ply, turnup and locked bead construction
US5963923A (en) * 1996-11-12 1999-10-05 Garber; Howard B. System and method for trading having a principal market maker
US6064985A (en) * 1998-01-21 2000-05-16 Assured Equities, Inc. Automated portfolio management system with internet datafeed
US7747523B2 (en) 1998-03-30 2010-06-29 Cohen Morris E Internet-based financial vehicles
US6938009B1 (en) 1999-08-16 2005-08-30 New Market Solutions, Llc Digital computer system and methods for a synthetic investment and risk management fund
US6360210B1 (en) * 1999-02-12 2002-03-19 Folio Trade Llc Method and system for enabling smaller investors to manage risk in a self-managed portfolio of assets/liabilities
US7634442B2 (en) * 1999-03-11 2009-12-15 Morgan Stanley Dean Witter & Co. Method for managing risk in markets related to commodities delivered over a network
CA2368931A1 (en) * 1999-06-02 2000-12-14 Algorithmics International Corp. Risk management system, distributed framework and method
US7225153B2 (en) 1999-07-21 2007-05-29 Longitude Llc Digital options having demand-based, adjustable returns, and trading exchange therefor
US6321212B1 (en) * 1999-07-21 2001-11-20 Longitude, Inc. Financial products having a demand-based, adjustable return, and trading exchange therefor
US8126794B2 (en) 1999-07-21 2012-02-28 Longitude Llc Replicated derivatives having demand-based, adjustable returns, and trading exchange therefor
US7831494B2 (en) 1999-11-01 2010-11-09 Accenture Global Services Gmbh Automated financial portfolio coaching and risk management system
JP3732707B2 (ja) * 2000-03-16 2006-01-11 富士通株式会社 加入者側通信装置における再同期制御装置および再同期方法
US7401036B2 (en) * 2000-03-27 2008-07-15 Vande Pol Mark E Free-market environmental management system having insured certification to a process standard
US20030208407A1 (en) * 2000-04-11 2003-11-06 Arcufutures, Inc. System and Method for Commodity Futures Contract Trading Risk Management
IL152235A0 (en) * 2000-04-13 2003-05-29 Superderivitives Inc A method for pricing financial instruments
US7509274B2 (en) 2000-04-17 2009-03-24 Kam Kendrick W Internet-based system for identification, measurement and ranking of investment portfolio management, and operation of a fund supermarket, including “best investor” managed funds
AU2001259391A1 (en) * 2000-05-03 2001-11-12 Shelton E. Harrison Jr. Electronic bond and guaranty process and business method
US20020077947A1 (en) 2000-12-14 2002-06-20 Ward David Charles Method and system for determining netted margins
WO2002015093A1 (en) * 2000-08-14 2002-02-21 Brown Brothers Harriman & Co. Margin settlement for exchange-traded futures contracts
US7395232B1 (en) 2000-08-30 2008-07-01 Traderisks, Inc. Method and system for providing financial functions
US7340430B2 (en) * 2000-09-28 2008-03-04 Ubs Ag Real-time trading system
US7392212B2 (en) * 2000-09-28 2008-06-24 Jpmorgan Chase Bank, N.A. User-interactive financial vehicle performance prediction, trading and training system and methods
US7580872B2 (en) * 2000-10-06 2009-08-25 Lic Development Llc Liquid insurance contracts
US7184984B2 (en) 2000-11-17 2007-02-27 Valaquenta Intellectual Properties Limited Global electronic trading system
US20020111874A1 (en) * 2001-02-13 2002-08-15 Binnur Al-Kazily System and method for network based purchasing
US20040024692A1 (en) 2001-02-27 2004-02-05 Turbeville Wallace C. Counterparty credit risk system
JP4814459B2 (ja) * 2001-03-30 2011-11-16 株式会社日本総合研究所 金融先物ディーリング支援方法、金融先物ディーリング支援方法をコンピュータに実行させるプログラムおよび金融先物ディーリング支援装置
US20030009408A1 (en) * 2001-04-26 2003-01-09 Ittai Korin Providing financial portfolio risk measurement and analysis to remote client services via a network-based application programming interface
US20030130917A1 (en) 2001-04-27 2003-07-10 Andrea Crovetto Computer system for determining the risk index of a financial instrument and relevant method
US7409367B2 (en) * 2001-05-04 2008-08-05 Delta Rangers Inc. Derivative securities and system for trading same
US20020194105A1 (en) * 2001-05-18 2002-12-19 Andrew Klein Process of and system for trading securities and options and markets related thereto
US7702563B2 (en) * 2001-06-11 2010-04-20 Otc Online Partners Integrated electronic exchange of structured contracts with dynamic risk-based transaction permissioning
US7430534B2 (en) * 2001-06-15 2008-09-30 Abb Ab System, method and computer program product for risk-minimization and mutual insurance relations in meteorology dependent activities
JP2003006436A (ja) * 2001-06-20 2003-01-10 Traders Shoken Kk 前受金を算出する機能を有する注文処理装置、前受金額算出方法及びその方法を実現するプログラム並びにそのプログラムを記録する記録媒体
GB2377040A (en) * 2001-06-25 2002-12-31 Secr Defence Financial portfolio risk management
US20030061148A1 (en) 2001-07-16 2003-03-27 Shahram Alavian Financial derivative and derivative exchange with guaranteed settlement
JP2003030562A (ja) * 2001-07-17 2003-01-31 It Gem:Kk 有価証券購入システム及び購入方法
US20030135448A1 (en) 2002-01-10 2003-07-17 Scott Aguias System and methods for valuing and managing the risk of credit instrument portfolios
US20030172017A1 (en) 2002-03-11 2003-09-11 Vincent Feingold High performance multi-dimensional risk engines for enterprise wide market risk management
AU2003225355A1 (en) 2002-04-30 2003-11-17 Maynard L. Dokken System and method for investing illiquid or restricted assets
US7395235B2 (en) 2002-06-13 2008-07-01 Centre For Development Of Advanced Computing Strategy independent optimization of multi objective functions
US20040019557A1 (en) 2002-07-29 2004-01-29 Howard Yaruss Method and apparatus for protecting a lender having an interest in a property against a loss
US20040019555A1 (en) * 2002-07-29 2004-01-29 Adonay Lara Method of guaranteed return on a short-term investment
JP2004127260A (ja) * 2002-07-30 2004-04-22 Daiwa Securities Group Inc 証券売買資金融資システム及びその方法
US7698208B2 (en) 2002-12-09 2010-04-13 Creditex Group, Inc. Systems and methods for an online credit derivative trading system
US20040139031A1 (en) * 2002-12-27 2004-07-15 Lee Amaitis Systems and methods for providing an interactive trading application
US20040172352A1 (en) 2003-02-04 2004-09-02 Cyril Deretz Method and system for correlation risk hedging
KR20060123116A (ko) 2003-09-11 2006-12-01 시티 뱅크, 엔.에이. 자산 배분을 위한 방법 및 시스템
EP1533725A1 (en) 2003-11-19 2005-05-25 Deutsche Börse Ag Valuation of a futures contract
US20050137956A1 (en) * 2003-12-19 2005-06-23 North American Energy Credit And Clearing Corporation Utilizing cash flow contracts and physical collateral for energy-related clearing and credit enhancement platforms
US7319984B2 (en) 2004-04-20 2008-01-15 Goldman Sachs & Co. Method and apparatus for creating and administering a publicly traded interest in a commodity pool
US20060009997A1 (en) * 2004-07-12 2006-01-12 Arthur Felix Method for transforming subjective data to quantitative information for use in a decision making process
US7428508B2 (en) * 2004-09-10 2008-09-23 Chicago Mercantile Exchange System and method for hybrid spreading for risk management
US7426487B2 (en) * 2004-09-10 2008-09-16 Chicago Mercantile Exchange, Inc. System and method for efficiently using collateral for risk offset
GB0422411D0 (en) 2004-10-08 2004-11-10 Crescent Technology Ltd RiskBlade - a distributed risk budgeting architecture
US20070294158A1 (en) 2005-01-07 2007-12-20 Chicago Mercantile Exchange Asymmetric and volatility margining for risk offset
JP2009528634A (ja) 2006-03-01 2009-08-06 タウンセンド・アナリティクス・リミテッド リスク管理のための方法およびシステム
US20090018969A1 (en) 2007-06-07 2009-01-15 Ian Ayres Systems and methods for providing investment strategies
US7813988B2 (en) 2007-06-21 2010-10-12 New York Mercantile Exchange, Inc. Method and system for determining margin requirements
US7991671B2 (en) 2008-03-27 2011-08-02 Chicago Mercantile Exchange Inc. Scanning based spreads using a hedge ratio non-linear optimization model

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
WO2008152500A3 (en) * 2007-06-13 2011-04-21 First Coverage Inc. System for facilitating objective evaluation of the performance of sell-side professionals

Also Published As

Publication number Publication date
US7426487B2 (en) 2008-09-16
JP5512085B2 (ja) 2014-06-04
US20130159211A1 (en) 2013-06-20
WO2006031454A2 (en) 2006-03-23
US20110178956A1 (en) 2011-07-21
US8214278B2 (en) 2012-07-03
WO2006031454A3 (en) 2006-10-19
EP1787255A4 (en) 2009-06-03
US8055567B2 (en) 2011-11-08
EP1787255A2 (en) 2007-05-23
US20080301062A1 (en) 2008-12-04
US20060059064A1 (en) 2006-03-16
JP2008512778A (ja) 2008-04-24

Similar Documents

Publication Publication Date Title
US7426487B2 (en) System and method for efficiently using collateral for risk offset
US8694417B2 (en) System and method for activity based margining
US8121926B2 (en) System and method for flexible spread participation
US8073764B2 (en) System and method for hybrid spreading for risk management
US20080294572A1 (en) System and method of margining fixed payoff products
CA2578095A1 (en) System and method for asymmetric offsets in a risk management system
WO2008020963A2 (en) System and method for using diversification spreading for risk offset
CA2768105A1 (en) System and method for using diversification spreading for risk offset
WO2011034715A1 (en) Multi-factor modeling, analysis and margining of credit default swaps for risk offset
CA2578249A1 (en) System and method of margining fixed payoff products

Legal Events

Date Code Title Description
EEER Examination request
FZDE Discontinued

Effective date: 20160822