CA2578249A1 - Systeme et procede permettant de marginaliser des produits a benefice fixe - Google Patents
Systeme et procede permettant de marginaliser des produits a benefice fixe Download PDFInfo
- Publication number
- CA2578249A1 CA2578249A1 CA002578249A CA2578249A CA2578249A1 CA 2578249 A1 CA2578249 A1 CA 2578249A1 CA 002578249 A CA002578249 A CA 002578249A CA 2578249 A CA2578249 A CA 2578249A CA 2578249 A1 CA2578249 A1 CA 2578249A1
- Authority
- CA
- Canada
- Prior art keywords
- value
- risk
- outcomes
- product
- portfolio
- 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
Links
- 238000000034 method Methods 0.000 title claims abstract description 107
- 230000008859 change Effects 0.000 claims description 21
- 239000011159 matrix material Substances 0.000 abstract description 6
- 239000000047 product Substances 0.000 description 205
- 238000012423 maintenance Methods 0.000 description 71
- 230000008520 organization Effects 0.000 description 60
- 238000004364 calculation method Methods 0.000 description 54
- 230000006870 function Effects 0.000 description 38
- 238000007726 management method Methods 0.000 description 31
- 230000007480 spreading Effects 0.000 description 29
- 238000003892 spreading Methods 0.000 description 29
- 230000000875 corresponding effect Effects 0.000 description 23
- 230000008569 process Effects 0.000 description 23
- 238000004422 calculation algorithm Methods 0.000 description 22
- 230000002776 aggregation Effects 0.000 description 19
- 238000004220 aggregation Methods 0.000 description 19
- 101100328463 Mus musculus Cmya5 gene Proteins 0.000 description 18
- 238000012545 processing Methods 0.000 description 18
- 238000000176 thermal ionisation mass spectrometry Methods 0.000 description 18
- 238000013055 trapped ion mobility spectrometry Methods 0.000 description 18
- 238000012384 transportation and delivery Methods 0.000 description 17
- 238000003491 array Methods 0.000 description 16
- 230000000694 effects Effects 0.000 description 13
- 230000002354 daily effect Effects 0.000 description 11
- 239000002131 composite material Substances 0.000 description 9
- 230000002596 correlated effect Effects 0.000 description 9
- 239000003921 oil Substances 0.000 description 9
- 238000004458 analytical method Methods 0.000 description 8
- 244000309464 bull Species 0.000 description 6
- 239000010779 crude oil Substances 0.000 description 6
- 230000002441 reversible effect Effects 0.000 description 6
- 238000006243 chemical reaction Methods 0.000 description 5
- 230000004931 aggregating effect Effects 0.000 description 4
- 238000013459 approach Methods 0.000 description 4
- 230000033228 biological regulation Effects 0.000 description 4
- 230000007423 decrease Effects 0.000 description 4
- 230000000704 physical effect Effects 0.000 description 4
- 238000012502 risk assessment Methods 0.000 description 4
- 238000009662 stress testing Methods 0.000 description 4
- 230000002411 adverse Effects 0.000 description 3
- 238000012550 audit Methods 0.000 description 3
- 230000006735 deficit Effects 0.000 description 3
- 230000001419 dependent effect Effects 0.000 description 3
- 238000011156 evaluation Methods 0.000 description 3
- 239000000945 filler Substances 0.000 description 3
- 238000010438 heat treatment Methods 0.000 description 3
- 238000007781 pre-processing Methods 0.000 description 3
- 230000002829 reductive effect Effects 0.000 description 3
- 239000013598 vector Substances 0.000 description 3
- 230000009471 action Effects 0.000 description 2
- 230000003466 anti-cipated effect Effects 0.000 description 2
- 230000001174 ascending effect Effects 0.000 description 2
- 230000004888 barrier function Effects 0.000 description 2
- 230000008901 benefit Effects 0.000 description 2
- 239000013066 combination product Substances 0.000 description 2
- 229940127555 combination product Drugs 0.000 description 2
- 238000004891 communication Methods 0.000 description 2
- 230000007812 deficiency Effects 0.000 description 2
- 238000013461 design Methods 0.000 description 2
- 238000001514 detection method Methods 0.000 description 2
- 230000009467 reduction Effects 0.000 description 2
- 238000005204 segregation Methods 0.000 description 2
- 238000007619 statistical method Methods 0.000 description 2
- 238000003860 storage Methods 0.000 description 2
- 238000012360 testing method Methods 0.000 description 2
- 230000007704 transition Effects 0.000 description 2
- 238000012935 Averaging Methods 0.000 description 1
- 241000283690 Bos taurus Species 0.000 description 1
- 241000865080 Dermacentor albipictus Species 0.000 description 1
- 108700042768 University of Wisconsin-lactobionate solution Proteins 0.000 description 1
- 235000009499 Vanilla fragrans Nutrition 0.000 description 1
- 244000263375 Vanilla tahitensis Species 0.000 description 1
- 235000012036 Vanilla tahitensis Nutrition 0.000 description 1
- 238000009825 accumulation Methods 0.000 description 1
- 230000006399 behavior Effects 0.000 description 1
- 239000011230 binding agent Substances 0.000 description 1
- 230000015572 biosynthetic process Effects 0.000 description 1
- 239000006227 byproduct Substances 0.000 description 1
- 230000015556 catabolic process Effects 0.000 description 1
- 230000001427 coherent effect Effects 0.000 description 1
- 230000008878 coupling Effects 0.000 description 1
- 238000010168 coupling process Methods 0.000 description 1
- 238000005859 coupling reaction Methods 0.000 description 1
- 230000003247 decreasing effect Effects 0.000 description 1
- 238000011161 development Methods 0.000 description 1
- 238000010586 diagram Methods 0.000 description 1
- 238000009826 distribution Methods 0.000 description 1
- 238000005516 engineering process Methods 0.000 description 1
- 230000003203 everyday effect Effects 0.000 description 1
- 230000002349 favourable effect Effects 0.000 description 1
- 230000008676 import Effects 0.000 description 1
- 230000006872 improvement Effects 0.000 description 1
- 238000007689 inspection Methods 0.000 description 1
- 230000002452 interceptive effect Effects 0.000 description 1
- 238000011835 investigation Methods 0.000 description 1
- 230000000670 limiting effect Effects 0.000 description 1
- 238000004519 manufacturing process Methods 0.000 description 1
- 238000013507 mapping Methods 0.000 description 1
- 239000000463 material Substances 0.000 description 1
- 230000007246 mechanism Effects 0.000 description 1
- 238000012544 monitoring process Methods 0.000 description 1
- 230000003287 optical effect Effects 0.000 description 1
- 230000036961 partial effect Effects 0.000 description 1
- 238000013439 planning Methods 0.000 description 1
- 238000003672 processing method Methods 0.000 description 1
- 230000002035 prolonged effect Effects 0.000 description 1
- 238000012797 qualification Methods 0.000 description 1
- 230000001105 regulatory effect Effects 0.000 description 1
- 238000012552 review Methods 0.000 description 1
- 230000001360 synchronised effect Effects 0.000 description 1
- 230000008685 targeting Effects 0.000 description 1
- 238000012546 transfer Methods 0.000 description 1
- 230000009466 transformation Effects 0.000 description 1
- 230000001131 transforming effect Effects 0.000 description 1
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR 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
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR 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)
Applications Claiming Priority (5)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| US60873604P | 2004-09-10 | 2004-09-10 | |
| US60/608,736 | 2004-09-10 | ||
| US11/030,869 US7428508B2 (en) | 2004-09-10 | 2005-01-07 | System and method for hybrid spreading for risk management |
| US11/030,849 | 2005-01-07 | ||
| PCT/US2005/031036 WO2006031446A2 (fr) | 2004-09-10 | 2005-08-31 | Systeme et procede permettant de marginaliser des produits a benefice fixe |
Publications (1)
| Publication Number | Publication Date |
|---|---|
| CA2578249A1 true CA2578249A1 (fr) | 2006-03-23 |
Family
ID=36060508
Family Applications (1)
| Application Number | Title | Priority Date | Filing Date |
|---|---|---|---|
| CA002578249A Abandoned CA2578249A1 (fr) | 2004-09-10 | 2005-08-31 | Systeme et procede permettant de marginaliser des produits a benefice fixe |
Country Status (3)
| Country | Link |
|---|---|
| EP (1) | EP1787256A4 (fr) |
| CA (1) | CA2578249A1 (fr) |
| WO (1) | WO2006031446A2 (fr) |
Families Citing this family (1)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| WO2007090241A1 (fr) * | 2006-02-10 | 2007-08-16 | Australia And New Zealand Banking Group Limited | Procédé pour optimiser la valeur de titres d'un porte-feuille d'investissement |
Family Cites Families (5)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CA2368931A1 (fr) * | 1999-06-02 | 2000-12-14 | Algorithmics International Corp. | Systeme de gestion de risques, plan de repartition et procede |
| US7831494B2 (en) * | 1999-11-01 | 2010-11-09 | Accenture Global Services Gmbh | Automated financial portfolio coaching and risk management system |
| US20030130917A1 (en) * | 2001-04-27 | 2003-07-10 | Andrea Crovetto | Computer system for determining the risk index of a financial instrument and relevant method |
| US20030172017A1 (en) * | 2002-03-11 | 2003-09-11 | Vincent Feingold | High performance multi-dimensional risk engines for enterprise wide market risk management |
| US20040054613A1 (en) * | 2002-04-30 | 2004-03-18 | Dokken Maynard L. | System and method for depositing and investing illiquid or restricted assets |
-
2005
- 2005-08-31 CA CA002578249A patent/CA2578249A1/fr not_active Abandoned
- 2005-08-31 EP EP05793915A patent/EP1787256A4/fr not_active Withdrawn
- 2005-08-31 WO PCT/US2005/031036 patent/WO2006031446A2/fr active Application Filing
Also Published As
| Publication number | Publication date |
|---|---|
| EP1787256A2 (fr) | 2007-05-23 |
| EP1787256A4 (fr) | 2009-05-13 |
| WO2006031446A3 (fr) | 2006-06-01 |
| WO2006031446A2 (fr) | 2006-03-23 |
Similar Documents
| Publication | Publication Date | Title |
|---|---|---|
| US8538852B2 (en) | System and method of margining fixed payoff products | |
| US8694417B2 (en) | System and method for activity based margining | |
| US8442896B2 (en) | System and method for flexible spread participation | |
| US7426487B2 (en) | System and method for efficiently using collateral for risk offset | |
| CA2578095A1 (fr) | Systeme et procede de compensations asymetriques dans un systeme de gestion de risques | |
| CA2578090A1 (fr) | Systeme et procede de deploiement hybride pour la gestion du risque | |
| CA2768105A1 (fr) | Systeme et procede utilisant un ecart de diversification pour decaler les risques | |
| CA2578249A1 (fr) | Systeme et procede permettant de marginaliser des produits a benefice fixe |
Legal Events
| Date | Code | Title | Description |
|---|---|---|---|
| EEER | Examination request | ||
| FZDE | Discontinued |
Effective date: 20150806 |