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AssigneeChicago Mercantile Exchange Inc.
InventorsDmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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A risk management system and method is disclosed utilizing a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. Multiple different types of spreading are combined allowing for a more accurate risk assessment. For example, a subset of derivative products held by a futures trader are first analyzed using a scanning based spreading methodology. Typically, futures products in the same product class (e.g. equity or agriculture futures) would be analyzed together thereby. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products (not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in many ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.
A computer implemented method of managing risk associated with a portfolio, the portfolio comprising a plurality of positions, each of the plurality of positions being associated with at least one product traded on an exchange, the method comprising:
A computer implemented method of managing risk associated with a portfolio, the portfolio comprising a plurality of positions, each of the plurality of positions being associated with at least one product traded on an exchange, the method comprising:
A system for managing risk associated with a portfolio, the portfolio comprising a plurality of positions, each of the plurality of positions being associated with at least one product traded on an exchange, the system comprising:
A system managing risk associated with a portfolio, the portfolio comprising a plurality of positions, each of the plurality of positions being associated with at least one product traded on an exchange, the system comprising a computer programmed to form a scanning based inter-commodity spread based on at least two positions of the plurality of positions of the portfolio and at least one position not in the portfolio.
Dependencies are inferred from the claim text.