WO2006031446A3 - System and method of margining fixed payoff products - Google Patents

System and method of margining fixed payoff products Download PDF

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Publication number
WO2006031446A3
WO2006031446A3 PCT/US2005/031036 US2005031036W WO2006031446A3 WO 2006031446 A3 WO2006031446 A3 WO 2006031446A3 US 2005031036 W US2005031036 W US 2005031036W WO 2006031446 A3 WO2006031446 A3 WO 2006031446A3
Authority
WO
WIPO (PCT)
Prior art keywords
probability
outcome
outcomes
events
universe
Prior art date
Application number
PCT/US2005/031036
Other languages
French (fr)
Other versions
WO2006031446A2 (en
Inventor
Dmitriy Glinberg
Tae S Yoo
Dale A Michaels
Edward Gogol
Original Assignee
Chicago Mercantile Exchange
Dmitriy Glinberg
Tae S Yoo
Dale A Michaels
Edward Gogol
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
Priority claimed from US11/030,869 external-priority patent/US7428508B2/en
Application filed by Chicago Mercantile Exchange, Dmitriy Glinberg, Tae S Yoo, Dale A Michaels, Edward Gogol filed Critical Chicago Mercantile Exchange
Priority to CA002578249A priority Critical patent/CA2578249A1/en
Priority to EP05793915A priority patent/EP1787256A4/en
Priority to JP2007531225A priority patent/JP4977027B2/en
Publication of WO2006031446A2 publication Critical patent/WO2006031446A2/en
Publication of WO2006031446A3 publication Critical patent/WO2006031446A3/en

Links

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

Abstract

A system and method is disclosed for determining performance bonds related to fixed payoff products, which payoff a fixed amount based on the outcome of an underlying event . A universe of outcomes is constructed including single events with single outcomes (306), and the probability thereof (310), and single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as 'strikes.' Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both (314). Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome (326).
PCT/US2005/031036 2004-09-10 2005-08-31 System and method of margining fixed payoff products WO2006031446A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
CA002578249A CA2578249A1 (en) 2004-09-10 2005-08-31 System and method of margining fixed payoff products
EP05793915A EP1787256A4 (en) 2004-09-10 2005-08-31 System and method of margining fixed payoff products
JP2007531225A JP4977027B2 (en) 2004-09-10 2005-08-31 System and method for margin adjustment of fixed income products

Applications Claiming Priority (4)

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
US11/030,869 2005-01-07

Publications (2)

Publication Number Publication Date
WO2006031446A2 WO2006031446A2 (en) 2006-03-23
WO2006031446A3 true WO2006031446A3 (en) 2006-06-01

Family

ID=36060508

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2005/031036 WO2006031446A2 (en) 2004-09-10 2005-08-31 System and method of margining fixed payoff products

Country Status (3)

Country Link
EP (1) EP1787256A4 (en)
CA (1) CA2578249A1 (en)
WO (1) WO2006031446A2 (en)

Families Citing this family (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
AU2007214264A1 (en) * 2006-02-10 2007-08-16 Australia And New Zealand Banking Group Limited A method for optimising the security value of an investment portfolio

Citations (5)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20010011243A1 (en) * 1999-06-02 2001-08-02 Ron Dembo Risk management system, distributed framework and method
US20020147671A1 (en) * 1999-11-01 2002-10-10 Sloan Ronald E. Financial portfolio risk management
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

Patent Citations (5)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20010011243A1 (en) * 1999-06-02 2001-08-02 Ron Dembo Risk management system, distributed framework and method
US20020147671A1 (en) * 1999-11-01 2002-10-10 Sloan Ronald E. Financial portfolio risk management
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

Non-Patent Citations (2)

* Cited by examiner, † Cited by third party
Title
BYLUND: "A Comparison of Margin Calculation Methods for Exchange Traded Contracts", ROYAL INSTITUTE OF TECHNOLOGY THESIS, February 2002 (2002-02-01), XP002997180 *
See also references of EP1787256A4 *

Also Published As

Publication number Publication date
EP1787256A4 (en) 2009-05-13
EP1787256A2 (en) 2007-05-23
WO2006031446A2 (en) 2006-03-23
CA2578249A1 (en) 2006-03-23

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