Patent ID: 7593877

Claim:
A computer-implemented method of analyzing risk of a portfolio, the portfolio comprising at least one of product of a plurality of products traded on an exchange, the method comprising: defining, by a computer processor, a set of at least one product of the plurality of products independent of the portfolio; defining, by the computer processor, a threshold as the number of products included in the set that must be found in the portfolio; computing, by the computer processor, a future risk offset for the set; identifying, by the computer processor, those products of the plurality of products included in both the portfolio and the set; determining, by the computer processor, a count of the identified products, wherein the computer processor determines that the count is at least equal to the threshold; assigning, by the computer processor, at least a portion of the future risk offset to the identified products; and treating, by the computer processor, the identified products as a single asset characterized by the assigned portion of the future risk offset for computing further risk offsets by the computer processor.