Patent ID: 8249973
Filing Date: 2012-08-21
Classification: G06Q

Abstract:
1. A computer implemented method of analyzing risk, the method comprising: receiving, by a computer, data indicative of a first margin requirement for a first product, data indicative of a first risk of loss associated with the first product, data indicative of a second margin requirement for a second product and data indicative of a second risk of loss associated with the second product, the first product having a correlation with the second product, wherein the correlation is independent of any relationship between the first and second risk of loss; adjusting, in the computer, the first margin requirement for the first product with respect to the second margin requirement for the second product, wherein the adjusting is performed based on the first risk of loss as compared to the second risk of loss irrespective of the correlation between the first and second products such that the adjusted first margin requirement is greater than the adjusted second margin requirement when the first risk of loss is greater than the second risk of loss or the adjusted second margin requirement is greater than the adjusted first margin requirement when the second risk of loss is greater than the first risk of loss; and computing, by the computer, a margin for a portfolio comprising the first and second products based on the adjusted first and second margin requirements.