Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2005-01-07
2008-09-23
Kazimi, Hani M. (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S03600T
Reexamination Certificate
active
07428508
ABSTRACT:
A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products(not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in a variety of ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.
REFERENCES:
patent: 5557517 (1996-09-01), Daughterty, III
patent: 5884286 (1999-03-01), Daughtery, III
patent: 5963923 (1999-10-01), Garber
patent: 6064985 (2000-05-01), Anderson
patent: 6263321 (2001-07-01), Daughtery, III
patent: 6321212 (2001-11-01), Lange
patent: 6360210 (2002-03-01), Wallman
patent: 6938009 (2005-08-01), Herbst et al.
patent: 2001/0011243 (2001-08-01), Dembo et al.
patent: 2001/0039524 (2001-11-01), Harrsion, Jr. et al.
patent: 2001/0053692 (2001-12-01), Daugherty, III
patent: 2002/0035531 (2002-03-01), Push
patent: 2002/0042770 (2002-04-01), Slyke et al.
patent: 2002/0073018 (2002-06-01), Mulinder et al.
patent: 2002/0077947 (2002-06-01), Ward et al.
patent: 2002/0107784 (2002-08-01), Hancock et al.
patent: 2002/0111874 (2002-08-01), Al-Kazily
patent: 2002/0147671 (2002-10-01), Sloan et al.
patent: 2002/0194105 (2002-12-01), Klein
patent: 2002/0194113 (2002-12-01), Lof et al.
patent: 2003/0009408 (2003-01-01), Korin
patent: 2003/0014342 (2003-01-01), Vande Pol
patent: 2003/0033240 (2003-02-01), Balson et al.
patent: 2003/0055765 (2003-03-01), Bernhardt
patent: 2003/0101123 (2003-05-01), Alvarado et al.
patent: 2003/0101125 (2003-05-01), McGill et al.
patent: 2003/0130917 (2003-07-01), Crovetto
patent: 2003/0135448 (2003-07-01), Aguias et al.
patent: 2003/0172017 (2003-09-01), Feingold et al.
patent: 2003/0208407 (2003-11-01), Dawson
patent: 2003/0208430 (2003-11-01), Gershon
patent: 2004/0019555 (2004-01-01), Lara
patent: 2004/0054613 (2004-03-01), Dokken
patent: 2004/0139031 (2004-07-01), Amaitis et al.
patent: 2004/0172352 (2004-09-01), Deretz
patent: 2005/0137956 (2005-06-01), Flory et al.
patent: 2006/0009997 (2006-01-01), Felix
patent: 2006/0059068 (2006-03-01), Glinberg et al.
Chicago Mercantile Exchange (CME)□□“http://www.cme.com/clr/rmspan/compont2480.html”□□Aug. 13, 2003.
PCT International Search Report PCT/US05/31050.
PCT International Search Report PCT/US054/31037.
PCT International Search Report PCT/US05/31136.
PCT International Search Report PCT/US05/31181.
Review of Standard Portfolio Analysis of Risk (“SPAN”) Margin System as Implemented by the Chicago Mercantile Exchange Board of Trade Clearing Corporation and the Chicago Board of Trade, Commodity Futures Trading Commission Divison of Trading Markets, Apr. 200, 18 pages, htt;://www/cftc.gov/files/tm/tmspan—margin043001.pdf.
Fortune; “Margin Requirements Across Equity-related Instruments: How Level is The Playing field?”; New England Economic Review 31(20); pp. 31-50; Dec. 2003.
PCT International Search Report PCT/US05/31137.
PCT International Search Report PCT/US05/31036.
Sungard, “GMS Global Margin Server”, information sheet, SunGard Futures Systems, Chicago, IL, 2 pages, undated.
CME memo to: All Firm Personnel, from Clearing House Department dated Nov. 5, 2004, re: “NYBOT and Margining Options on Futures Calendar Spreads in SPAN®” obtained Dec. 13, 2004 from http://www.cme.com/clearing/rmspan/spanadv/printerFriendly/10536.html., 1 page.
Cyber Trader, “Margin Requirements”, obtained Dec. 13, 2004 from http://www.cybertrader.com/MarginAndFees/MartinRequirements.aspx, 3 pages.
Ian Brant, Futures Trading Software—“The Margin Account Calculator” article, The Margin Account Calculator © Copyright All Rights Reserved, obtained Dec. 13, 2004 from http://www.marginaccountcalc.com/ , 6 pages.
CME Audit Advisory Notice, re “Revision to Risk Based Capital Requirement”, dated Dec. 15, 2000., obtained Dec. 13, 2004 from http://www.cme.com/clearing/clr/advntc/audit—RBC00-01.html, 2 pages.
John F. Summa, OptionsNerd.com “Smart Options Trading Strategies”article obtained Dec. 13, 2004 from http://www.optionsnerd.com/oex.htm, ©2003 OptionsNerd.com, 3 pages.
Risk Management System article, Business Line, Feb. 8, 2004, pp. 1-2.
Peter Fortuene, New England Economic Review, “Margin Requirements Across Equity-Related Instruments: How level is the Playing Field?”, article, Annual, 2003, pp. 2-31.
Joanne M. Hill, Naviwala, Humza, Journal of Portfolio Management, 61, “Synthetic and Enhanced Index Strategies Using Futures on U.S. Indexes (Special Theme: Derivatives & Risk Management)”, article, May 1999, pp. 31-44.
Paul Kupiec, OECD Economic Studies, “Stock market volatility in OECD countries: Recent trends, consequences for the real economy and proposals for reform”, article, Autumn, 1991, pp. 44-87.
CME Span® “The Standard Portfolio Analysis of Risk”brochure, Copyright © 2004 Chicago Mercantile Exchange Inc., 11 pages.
CME “Powerful technology for Risk Analysis and Management”software pamphlet, Copyright © 2001 Chicago Mercantile Exchange, 6 pages.
CME Span® “Components of SPAN”clearing services data, obtained at http://www.cme.com/clr/rmspan/compont2480.html, Sep. 8, 2004, pp. 1-9.
CME Span® “CME Standard Portfolio Analysis of Risk (SPAN)” clearing services data, obtained at http://www.cme.com/clr/rmspan/rmspan/intro1155.html, Sep. 8, 2004, pp. 1-9.
The Options Clearing Corporation “Margin Methodology” website agreements, obtained at http://www.optionsclearing.com/products/margin.jsp, Sep. 8, 2004, pp. 1-3.
CME “Financial Safeguard System of Chicago Mercantile Exchange”, brochure, Copyright © 2004 Chicago Mercantile Exchange Inc., 16 pages.
Mattias Bylund, “A Comparison of Margin Calculation Methods for Exchange Traded Contracts”, Feb. 2002, thesis, 92 pages.
Eurex Clearing Risk Based Margining brochure, © Eurex, Jan. 2003, 71 pgs.
Glinberg Dmitriy
Gogol Edward
Michaels Dale A.
Yoo Tae S.
Brinks Hofer Gilson & Lione
Chicago Mercantile Exchange
Hammond III Thomas M
Katz James L.
Kazimi Hani M.
LandOfFree
System and method for hybrid spreading for risk management does not yet have a rating. At this time, there are no reviews or comments for this patent.
If you have personal experience with System and method for hybrid spreading for risk management, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and System and method for hybrid spreading for risk management will most certainly appreciate the feedback.
Profile ID: LFUS-PAI-O-3980305