Patent Document ID: 20080294572
Application ID: 12188576
Patent Status: 0

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: computing a portfolio value based on a product value of each of the at least one product; determining, for each of the at least one product, a set of non-redundant outcomes of the finite set of outcomes, the set of non-redundant outcomes not including the at least one outcome; generating, for each of the at least one product, a risk value for each of the at least one outcome and each non-redundant outcome of the set of non-redundant outcomes, the risk value comprising one of a gain or loss of the product value associated with the particular outcome; adjusting each of the risk values based on a likelihood that the associated outcome will occur; determining, for each of the at least one outcome and each non-redundant outcome of the 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 a maximum aggregate risk value comprising the aggregate risk value representing the largest loss from among the determined aggregate risk values; and computing a margin requirement equal to the difference between the portfolio value and the maximum aggregate risk value.