Patent ID: 7509275

Claim:
A computer implemented method of analyzing risk in a portfolio, the portfolio including at least two of a plurality of products traded on an exchange, the method comprising: determining, in a computer, a correlation between first and second products of the at least two products, the first product being associated with a first margin requirement and the second product being associated with a second margin requirement; computing, by the computer, a first risk offset based on the correlation, the first risk offset comprising an adjustment to the first margin requirement; assigning, by the computer, the first risk offset to the first product; computing, by the computer, a second risk offset based on the correlation and a compensating factor, the second risk offset being different from the first risk offset, the second risk offset comprising an adjustment to the second margin requirement; assigning, by the computer, the second risk offset to the second product; and computing, by the computer, a combined margin requirement for the first and second products as the sum of the first margin requirement for the first product adjusted as a function of the first risk offset and a the second margin requirement for the second product adjusted as a function of the second risk offset.