Inventors:
- Chicago IL, US
Kailin Ding - Chicago IL, US
Nick Li - Chicago IL, US
Lu Lu - Pittsburgh PA, US
Chao Wang - Chicago IL, US
Panos Xythalis - Scotch Plains NJ, US
Alice Yang - Chicago IL, US
Jun Zhai - Chicago IL, US
Assignee:
Chicago Mercantile Exchange Inc. - Chicago IL
International Classification:
G06Q 40/04
G06Q 40/06
Abstract:
Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.