RISK MEASUREMENT MANAGEMENT AND TRADE DECISIONING SYSTEM

摘要

A method of determining whether to allow a new trade of a contract in a systemwhich determines the value of margin amounts (210) supporting trading andevaluates the total value at risk in a portfolio of traded contracts. Thesystem compares (250) the value at risk in the portfolio to the value ofmargin amounts to calculate the excess available margin. After calculating theallowable notional trade volume, allowable notional trade quantity and therisk per unit of commodity for a new trade it determines whether the new tradehas a value at risk which exceeds the excess available margin (270). It thenapproves or rejects the trade based upon a determination of whether the valueat risk of the new trade exceeds the excess available margin. It also includesa second chance mechanism for rejected trades if the effect of the trade wouldbe to increase the excess available margin of the portfolio (310).