Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2008-08-08
2011-12-06
Hammond, III, Thomas M (Department: 3695)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S03600T
Reexamination Certificate
active
08073764
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: 7225153 (2007-05-01), Lange
patent: 7395232 (2008-07-01), Pilato
patent: 7428508 (2008-09-01), Glinberg et al.
patent: 2001/0011243 (2001-08-01), Dembo et al.
patent: 2001/0039524 (2001-11-01), Harrison, Jr. et al.
patent: 2001/0042037 (2001-11-01), Kam et al.
patent: 2001/0056392 (2001-12-01), Daughtery, 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: 2002/0091624 (2002-07-01), Glodjo 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: 2003/0061148 (2003-03-01), Alavian
patent: 2003/0097331 (2003-05-01), Cohen
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: 2003/0233304 (2003-12-01), Dhurandhar et al.
patent: 2003/0236738 (2003-12-01), Lange et al.
patent: 2004/0019555 (2004-01-01), Lara
patent: 2004/0019557 (2004-01-01), Yaruss et al.
patent: 2004/0024692 (2004-02-01), Turbeville et al.
patent: 2004/0054613 (2004-03-01), Dokken
patent: 2004/0139031 (2004-07-01), Amaitis et al.
patent: 2004/0172352 (2004-09-01), Deretz
patent: 2004/0225593 (2004-11-01), Frankel et al.
patent: 2005/0108128 (2005-05-01), Kastel et al.
patent: 2005/0137956 (2005-06-01), Flory et al.
patent: 2005/0171883 (2005-08-01), Dundas et al.
patent: 2006/0009997 (2006-01-01), Felix
patent: 2006/0036534 (2006-02-01), Hirani et al.
patent: 2006/0059068 (2006-03-01), Glinberg et al.
patent: 2007/0219893 (2007-09-01), Xu
patent: 2007/0294158 (2007-12-01), Patel et al.
patent: 2008/0005002 (2008-01-01), Ferris
patent: 2008/0319920 (2008-12-01), Levin et al.
patent: 2009/0018969 (2009-01-01), Ayres et al.
patent: 2009/0248588 (2009-10-01), Hadi et al.
International Search Report and Written Opinion for PCT/US2010/047122, dated Oct. 6, 2010, 8 pages.
International Preliminary Report on Patentability for PCT/US2008/072887, dated Aug. 10, 2010, 6 pages.
International Preliminary Report on Patentability for PCT/US2008/085306, dated Jul. 19, 2010, 5 pages.
International Search Report and Written Opinion for PCT/US2010/044840, dated Sep. 27, 2010, 9 pages.
International Preliminary Report on Patentability for PCT/US2007/16610, dated Feb. 26, 2009, 10 pages.
International Search Report and Written Opinion for PCT/US2008/85306, dated Feb. 4, 2009, 7 pages.
International Search Report and Written Opinion for PCT/US2007/16610, dated Aug. 8, 2008, 6 pages.
International Preliminary Search Report PCT/US2008/72887.
Eurex Clearing Risk Based Margining brochure, © Eurex, Jan. 2003, 71 pgs.
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 Division 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.
PCT International Search Report PCT/US05/31136.
PCT International Search Report PCT/US05/31181.
PCT International Search Report PCT/US05/31037.
PCT International Search Report PCT/US05/31050.
International Preliminary Report PCT/US2005/31039.
International Search Report, PCT/US2005/31039.
Chicago Mercantile Exchange, http://www.cme.com/clr/rmspan/compont2480.html, Aug. 19, 2003.
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.
CyberTrader, “Margin Requirements”, obtained Dec. 13, 2004 from http://www.cybertrader.com/MarginAndFees/Martin/MarginRequirements. 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 Fortune, 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.c
Glinberg Dmitriy
Gogol Edward
Michaels Dale A.
Yoo Tae S.
Chicago Mercantile Exchange Inc.
Hammond III Thomas M
Lempia Summerfield Katz LLC
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-4311526