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SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET
SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET
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机译:信用偏移的信用违约掉期交易的多因素建模,分析和标记的系统和方法
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摘要
A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The method includes receiving a plurality of data associated with the plurality of financial instruments within the portfolio, calculating a maximum risk margin for each of the plurality of risk factors such that the maximum risk margin for each of the plurality of risk factors is determined based on the plurality of data, and calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors.
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