Patent ID: 8321333

Claim:
A computer-implemented method for determining a margin requirement associated with a plurality of financial instruments within a portfolio, the method comprising: analyzing the portfolio including the plurality of financial instruments, wherein analyzing further comprises: determining a first time-series of returns for the plurality of financial instruments; determining a second time-series of returns for the plurality of financial instruments, wherein the second time-series occurs after the first time-series; and calculating the correlation between the first time-series of returns and the second time-series of returns; calculating residuals and volatilities for the plurality of financial instruments within the portfolio as a function of the first time-series of returns; calculating 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.