System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset

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 a shock value for each of a plurality of risk factors within a multi-factor risk model, wherein the shock factor is determined based on the received plurality of data;
• calculating a maximum risk margin for each of the plurality of risk factors, wherein the maximum risk is a function of the shock value associated with each of the plurality of risk factors;
• and
• calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors.