Patent ID: 8131634
Filing Date: 2012-03-06
Classification: G06Q

Abstract:
1. A computer-implemented method for determining a margin requirement associated with a plurality of financial instruments within a portfolio, the method comprising: determining a time-series of returns for the plurality of financial instruments within the portfolio; calculating residuals and volatilities for the plurality of financial instruments within the portfolio as a function of the determined the time-series of returns; applying a student-t copula to a standardized version of the calculated residuals to determine a correlation matrix and degrees-of-freedom utilized to simulate standardized residuals for each of the plurality of financial instruments within the portfolio; generating simulated returns as a function of the simulated standardized residuals and the returns; generating a spread distribution for the portfolio, wherein the portfolio is repriced as a function of the simulated returns; and calculating a margin risk based on a risk percentile associated with the spread distribution.