首页>
外国专利>
ALLOCATION OF A CREDIT DEFAULT SWAP PORTFOLIO
ALLOCATION OF A CREDIT DEFAULT SWAP PORTFOLIO
展开▼
机译:分配信用违约互换组合
展开▼
页面导航
摘要
著录项
相似文献
摘要
A method for allocating margin of a credit default swap portfolio is provided. The method includes identifying a credit default swap portfolio maintained by a defaulting clearing firm, determining a defaulting margin for the portfolio, the defaulting margin being determined using a margin model; and allocating the defaulting margin to one or more non-defaulting clearing firms based on account margins for each of the non-defaulting clearing firms.
展开▼