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And methods of risk management hybrid spreading system
And methods of risk management hybrid spreading system
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机译:和风险管理混合传播系统的方法
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摘要
Flexible, using a set of configurable spreading technique, a method and risk management systems. Can be incorporated into risk management of existing software functionality, flexibility and improve the accuracy. In the disclosed embodiment, I want to allow more accurate, a combination of spreading several different types of risk assessment. In the embodiment of an example, I analyze the beginning the spreading method of scan-based, a subset of derivative instruments futures trader owns. In general, by the spreading method of scan-based, will be analyzed together (for example, agricultural products futures or stock futures) futures commodity of goods of the same class. Next, I calculate the average delta of the subset. By using the delta and then using the spreading method delta-based, and analyzed for (not included in the subset) derivatives of rest, a subset. You can change the magnification of the delta, or applied to a period of time delta, or so on other methods, it is possible to perform the calculation of delta subsets in a variety of ways for the products, respectively. [Selection Figure Figure 2
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