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US 9,959,574 B2Granted
Risk assessment
AssigneeCinnober Financial Technology AB
InventorHannes Edvardson
Life of this patent
Estimating the term…
Abstract
A clearing system comprising: a database for storing a plurality of accounts; and a risk manager for carrying out a risk assessment for a group of accounts comprising one or more accounts of said plurality of accounts; said risk manager being configured to update a risk assessment for a group of accounts each time the clearing system receives information about a new event affecting at least one account of said group of accounts. The event may be a new trade. The trade may be reported to the clearing system as soon as it has been settled.
Claims13
A computing system for parallel calculation of risk assessments of account groups, the system comprising:
- an account database memory configured to store digitized records for a plurality of accounts;
- an account manager including:
- an account manager nonvolatile memory configured to store digitized records for a plurality of accounts;
- an account manager volatile memory;
- and
- an account manager processor configured to:
- create a data structure, in the account manager volatile memory, organizing the accounts having digitized records stored in the account database memory and the account manager nonvolatile memory, wherein the data structure organizes the accounts into groups based on a risk assessment score for an account type to be calculated by a clearing system;
- and
- a risk manager including:
- a risk manager volatile memory;
- a risk manager processor configured to:
- copy, from the account manager volatile memory to the risk manager volatile memory, the data structure;
- receive, from the account manager via a pushed update for the risk manager volatile memory, a message comprising transaction data related to a transaction from a trading system;
- determine types of risk assessment algorithms to perform on the groups, corresponding to types of securities instrument held in the accounts of at least one of the groups;
- calculate, in parallel, risk assessment scores for the groups using the determined corresponding types of risk assessment algorithms, including netting the positions held by the accounts in the groups;
- and
- update, in the risk manager volatile memory, for access by the account manager processor, the calculated risk assessment scores for the groups when the clearing system receives transaction data about a new transaction registered on at least one account of the groups;
- and
- control, in response to the updated risk assessment scores, the trading system such that the trading system is instructed to automatically clear the new transaction and execute the new transaction.
16 more elements
A computer-implemented method for parallel calculation of risk assessments of account groups in a clearing system, comprising:
- creating, by an account manager processor, a data structure in an account manager volatile memory organizing a plurality of accounts into a plurality of groups, based on a risk assessment score for an account type to be calculated by the clearing system, each group comprising at least one account, wherein the data structure is created using digitized records of the plurality of accounts stored in an account manager nonvolatile memory and an account database memory;
- copying, by a risk manager processor from the account manager volatile memory to a risk manager volatile memory, the data structure organizing the plurality of accounts;
- receiving, from the account manager processor via a pushed update for the risk manager volatile memory, a message that includes transaction data related to a transaction from a trading system;
- determining, by the risk manager processor with reference to the risk manager volatile memory and responsive to receiving the pushed update, a corresponding type of risk assessment algorithm to perform on each of a plurality of the groups based on a type of securities instrument held in the accounts of the at least one of the groups;
- calculating, in a parallel computing arrangement and with the risk manager processor, a corresponding risk assessment score for each of the plurality of the groups using the determined corresponding type of risk assessment algorithm, including netting the positions held by the accounts for each of the plurality of the groups;
- and
- updating, in the risk manager volatile memory, for access by the account manager processor, the calculated risk assessment score for each of the plurality of the groups each time the clearing system receives transaction data about a new transaction registered on at least one account of each of the plurality of the groups;
- and
- controlling, in response to the updated risk assessment scores, the trading system such that the trading system is instructed to automatically clear the new transaction and execute the new transaction.
6 more elements
Dependencies are inferred from the claim text.