Patent ID: 8103578

Claim:
A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio, the method comprising: receiving a plurality of data associated with the plurality of financial instruments within the portfolio; determining, using a processor, a systematic risk margin based on at least a portion of the received plurality of data; determining, using the processor, a curve risk margin based on at least a second portion of the received plurality of data; determining, using the processor, a convergence and divergence risk margin based on at least a third portion of the received plurality of data; determining, using the processor, a sector risk margin based on at least a fourth portion of the received plurality of data; determining, using the processor, an idiosyncratic risk margin based on at least a fifth portion of the received plurality of data; determining, using the processor, a liquidity risk margin based on at least a sixth portion of the received plurality of data; determining, using the processor, a basis risk margin based on at least a seventh portion of the received plurality of data; and calculating, using the processor, a multi-factor risk margin based on one more of the determined risk factors.