Patent ID: 8825541

Claim:
A computer-implemented method of computing a margin requirement for a portfolio comprising at least one product having an associated fixed payoff value based on an occurrence of one of a finite set of at least two outcomes of an event, the method comprising: determining, by a computer processor, a subset of outcomes, out of the finite set of all possible outcomes, at which each of the at least one product may settle and a resultant change in value thereof; assigning, by the computer processor, a probability weight to each outcome of the subset of outcomes representative of a probability of an occurrence thereof, wherein determination of the probability weight is based at least in part on one or more parameters reflecting a desired degree of risk coverage and/or one or more types of market data; and computing, by the computer processor, the margin requirement based on the resultant change in value resulting from each of the subset of outcomes and the probability weight assigned thereto.