Patent ID: 11922506
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 0:
1. A computer implemented method for determining a margin requirement for a financial product portfolio, wherein market conditions for the financial product portfolio are characterized by a zero curve, the computer implemented method comprising:
producing, with a processor, a plurality of scenario curves, each scenario curve being produced from a number of principal component analysis (PCA) factors for the zero curve, the number of PCA factors being factor-deficient, wherein producing the plurality of scenario curves comprises producing a pair of scenario curves for each PCA factor of the number of PCA factors by varying the PCA factor by a positive offset and a negative offset independently of the other PCA factors of the number of PCA factors such that the other PCA factors are not offset;
calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves;
calculating, for each PCA factor, a factor-specific loss risk amount based on the projected values calculated for the pair of scenario curves produced for the PCA factor; and
determining the margin requirement based on a sum of the factor-specific loss risk amounts for the number of PCA factors.