Patent ID: 8121926

Claim:
A computer implemented method of computing a risk offset for a portfolio for adjusting a margin requirement therefore, the portfolio comprising a first subset of three or more products of a plurality of products traded on an exchange, the method comprising: identifying, by a computer processor, a second subset of two or more products of the plurality of products traded on the exchange and determining a risk offset thereof, the identifying being independent of the first subset; determining, by the computer processor, a third subset of two or more products consisting of two or more products contained in both the first and second subsets and a fourth subset of one or more products consisting of one or more products included in the first subset of three or more products and not included in the second subset of two or more products; treating by the computer processor, the products of the first subset of three or more products identified by the third subset of two or more products as a single product characterized by at least a portion of the risk offset of the second subset of two or more products, whereas each of products of the first subset of three or more products identified by the fourth subset of one or more products are treated individually; computing, by the computer processor, a risk offset based on the products of the first subset of three or more products identified by the fourth subset of one or more products; and computing, by the computer processor, a risk offset for the portfolio based on at least the portion of the risk offset of the second subset of two or more products characterizing the third subset of two or more products and the computed risk offset of the products of the first subset of three or more products identified by the fourth subset of one or more products.