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

Claim 11:
12. A system for determining a margin requirement for financial product portfolio, wherein market conditions for the financial product portfolio are characterized by a zero curve, the system comprising a processor and a memory coupled with the processor, the system further comprising:
first logic stored in the memory and executable by the processor to generate a number of principal component analysis (PCA) factors for the zero curve, the number of PCA factors being factor-deficient;
second logic stored in the memory and executable by the processor to produce a plurality of scenario curves, each scenario curve being produced from the number of PCA factors, the plurality of scenario curves comprising 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;
third logic stored in the memory and executable by the processor to calculate a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves;
fourth logic stored in the memory and executable by the processor to calculate, 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
fifth logic stored in the memory and executable by the processor to determine the margin requirement based on a sum of the factor-specific loss risk amounts for the number of PCA factors.