US Patent:
20140317021, Oct 23, 2014
Inventors:
- Atlanta GA, US
Stanislav I. Ivanov - Clarendon Hills IL, US
Charles A. Vice - Roswell GA, US
Michael Gibson - Essex, GB
Yunke Yang - Atlanta GA, US
Vikram Atre - Smyrna GA, US
Joshua I. Shapiro - Atlanta GA, US
Judson H. Morrison - Atlanta GA, US
Bradley D. Shively - Marietta GA, US
Sidhartha Routray - Atlanta GA, US
Michael A. Hopper - Duluth GA, US
Thomas W. Jefson - Sandy Springs GA, US
RJ Cummings - Decatur GA, US
Jacob S. Ensign - Decatur GA, US
Jeremy K. O'Shields - Atlanta GA, US
Stephen R. Pounds - Roswell GA, US
Eric D. J. Shepherd - Woodstock GA, US
International Classification:
G06Q 40/06
Abstract:
An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.