Patent Document ID: 8538852
Application ID: 13679606
Patent Flag: 1

Claim One:
1. A computer implemented method of computing a margin requirement for a portfolio, the portfolio comprising at least one product having at least one associated fixed payoff value based on at least one outcome of a finite set of outcomes of an event, the method comprising: determining, by a computer system comprising at least a computer processor, for each of the at least one product, an associated set of non-redundant outcomes of the finite set of outcome including the at least one outcome upon which the at least one associated fixed payoff value is based; generating, by the computer system, for each of the at least one product, a risk value for each outcome of the associated set of non-redundant outcomes, the risk value comprising one of a no change, gain or loss of a product value of the at least one product associated with the particular outcome; adjusting, by the computer system for each of the at least one product, each of the risk values based on a likelihood that the associated outcome will occur; determining, by the computer system, for each non-redundant outcome of the associated set of non-redundant outcomes, an aggregate risk value of each of the adjusted risk values generated for the particular outcome of each of the at least one product; determining, by the computer system, a maximum aggregate risk value comprising the aggregate risk value representing the largest loss from among the determined aggregate risk values; and computing, by the computer system, a margin requirement as a difference between a value of the portfolio and the maximum aggregate risk value.