Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2009-08-13
2011-11-29
Havan, Thu Thao (Department: 3695)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S038000
Reexamination Certificate
active
08069109
ABSTRACT:
A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes analyzing, by a processor, a first product in a portfolio, wherein the first product has a first market response in response to market data, analyzing, by a processor, a second product in a portfolio, wherein the second product has a second market response in response to the market data, determining, by a processor, a diversification spread, the diversification spread representative of an offsetting effect between the first product and the second product, wherein the offsetting effect results from the first market response being substantially different than the second market response in response to similar market data, determining, by the processor, a diversification spread credit based on the diversification spread of the plurality of products, and adjusting, by the processor, a margin requirement for the portfolio based on the diversification spread credit.
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Glinberg Dmitriy
Gogol Edward
Michaels Dale A.
Chicago Mercantile Exchange Inc.
Havan Thu Thao
Lempia Summerfield Katz LLC
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