Back to results
US 2024/0202829 A1Published application
Guarantee fund calculation with allocation for self-referencing risk
AssigneeChicago Mercantile Exchange Inc.
InventorsEvren Baysal, Panagiotis Xythalis, Kailin Ding, Sixiang Li, Lu Lu, Jun Zhai
Life of this patent
Estimating the term…
Abstract
Computer implemented systems and methods are disclosed that allow for the efficient and rapid determination of guarantee funds for clearing member firms. Disclosed systems and methods account for the exposure of self-referencing risk.
Claims20
A computer implemented method including:
- generating a self-referencing risk (SRR) data structure in a memory storage by:
- determining a margin requirement value based on a margin model, the margin model including a scenario model that is extensible to newly determined risk factors;
- removing, by a multiple-core processing scheme including executing independent operations on multiple hardware processing cores in parallel and for each of multiple participant units, the margin requirement value from an exposure value to determine a corresponding residual vector entry of the SRR data structure for the participant unit;
- summing, using the multiple-core processing scheme, at least a predetermined number of top-magnitude residual vector entries to simulate an event corresponding to the predetermined number of jump-to-defaults occurring to generate a total event value;
- determining, using the multiple-core processing scheme and for each of the multiple participant units, a corresponding ratio value by dividing the corresponding residual vector entry for the participant unit by the total event value;
- and
- multiplying, using the multiple-core processing scheme and for each of the multiple participant units, the corresponding ratio value for that participant unit to a sum over an entirety of the residual vector to determine a contribution vector of the SRR data structure, wherein:
- computation for each entry within any one of the vectors is independent of any computation for any other entry in that vector.
5 more elements
Non-transitory machine-readable media including instructions stored thereon, the instructions configured to, when executed, cause a machine to:
- generate a self-referencing risk (SRR) data structure in a memory storage via the instructions further configured to cause the machine to:
- determine, using a multiple-core processing scheme including executing independent operations multiple hardware processing cores in parallel, a margin requirement value based on a margin model, the margin model including a scenario model that is extensible to newly determined risk factors;
- remove, using multiple-core processing scheme and for each of multiple participant units, the margin requirement value from an exposure value to determine a corresponding residual vector entry of the SRR data structure for the participant unit;
- sum, using the multiple-core processing scheme, at least a predetermined number of top-magnitude residual vector entries to simulate an event corresponding to the predetermined number of jump-to-defaults occurring to generate a total event value;
- determine, using the multiple-core processing scheme and for each of the multiple participant units, a corresponding ratio value by dividing the corresponding residual vector entry for the participant unit by the total event value;
- and
- multiply, using the multiple-core processing scheme and for each of the multiple participant units, the corresponding ratio value for that participant unit to a sum over an entirety of the residual vector to determine a contribution vector of the SRR data structure, wherein:
- computation for each entry within any one of the vectors is independent of any computation for any other entry in that vector.
5 more elements
A system including:
- memory;
- and
- multiple hardware processing cores, configured to execute independent operations in a multiple-core processing scheme including operating at least some of the multiple hardware processing cores in parallel, the multiple hardware processing cores configured to execute instructions stored on the memory to:
- generate a self-referencing risk (SRR) data structure in the memory:
- determine, using the multiple-core processing scheme, a margin requirement value based on a margin model, the margin model including a scenario model that is extensible to newly determined risk factors;
- remove, using the multiple-core processing scheme and for each of multiple participant units, the margin requirement value from an exposure value to determine a corresponding residual vector entry of the SRR data structure for the participant unit;
- sum, using the multiple-core processing scheme, at least a predetermined number of top-magnitude residual vector entries to simulate an event corresponding to the predetermined number of jump-to-defaults occurring to generate a total event value;
- determine, using the multiple-core processing scheme and for each of the multiple participant units, a corresponding ratio value by dividing the corresponding residual vector entry for the participant unit by the total event value;
- and
- multiply, using the multiple-core processing scheme and for each of the multiple participant units, the corresponding ratio value for that participant unit to a sum over an entirety of the residual vector to determine a contribution vector of the SRR data structure, wherein:
- computation for each entry within any one of the vectors is independent of any computation for any other entry in that vector.
8 more elements
Dependencies are inferred from the claim text.