WO2006031453A3 - System and method for asymmetric offsets in a risk management system - Google Patents

System and method for asymmetric offsets in a risk management system Download PDF

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Publication number
WO2006031453A3
WO2006031453A3 PCT/US2005/031136 US2005031136W WO2006031453A3 WO 2006031453 A3 WO2006031453 A3 WO 2006031453A3 US 2005031136 W US2005031136 W US 2005031136W WO 2006031453 A3 WO2006031453 A3 WO 2006031453A3
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WO
WIPO (PCT)
Prior art keywords
products
offset
offsets
assigned
risk management
Prior art date
Application number
PCT/US2005/031136
Other languages
French (fr)
Other versions
WO2006031453A2 (en
Inventor
Dmitriy Glinberg
Tae S Yoo
Dale A Michaels
Edward Gogol
Original Assignee
Chicago Mercantile Exchange
Dmitriy Glinberg
Tae S Yoo
Dale A Michaels
Edward Gogol
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Chicago Mercantile Exchange, Dmitriy Glinberg, Tae S Yoo, Dale A Michaels, Edward Gogol filed Critical Chicago Mercantile Exchange
Priority to EP05793557A priority Critical patent/EP1812897A4/en
Priority to CA002578095A priority patent/CA2578095A1/en
Priority to JP2007531230A priority patent/JP5057978B2/en
Publication of WO2006031453A2 publication Critical patent/WO2006031453A2/en
Publication of WO2006031453A3 publication Critical patent/WO2006031453A3/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance

Abstract

A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
PCT/US2005/031136 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system WO2006031453A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
EP05793557A EP1812897A4 (en) 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system
CA002578095A CA2578095A1 (en) 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system
JP2007531230A JP5057978B2 (en) 2004-09-10 2005-08-31 System and method for performing asymmetric offset in a risk management system

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US60873604P 2004-09-10 2004-09-10
US60/608,736 2004-09-10
US11/030,833 2005-01-07
US11/030,833 US7509275B2 (en) 2004-09-10 2005-01-07 System and method for asymmetric offsets in a risk management system

Publications (2)

Publication Number Publication Date
WO2006031453A2 WO2006031453A2 (en) 2006-03-23
WO2006031453A3 true WO2006031453A3 (en) 2007-01-18

Family

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Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2005/031136 WO2006031453A2 (en) 2004-09-10 2005-08-31 System and method for asymmetric offsets in a risk management system

Country Status (5)

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US (7) US7509275B2 (en)
EP (1) EP1812897A4 (en)
JP (1) JP5057978B2 (en)
CA (1) CA2578095A1 (en)
WO (1) WO2006031453A2 (en)

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Also Published As

Publication number Publication date
JP5057978B2 (en) 2012-10-24
WO2006031453A2 (en) 2006-03-23
EP1812897A4 (en) 2009-05-13
US8577774B2 (en) 2013-11-05
US20090076982A1 (en) 2009-03-19
US20060059066A1 (en) 2006-03-16
US8073754B2 (en) 2011-12-06
US11138660B2 (en) 2021-10-05
US10026123B2 (en) 2018-07-17
US8249973B2 (en) 2012-08-21
JP2008512777A (en) 2008-04-24
US7509275B2 (en) 2009-03-24
US20120296850A1 (en) 2012-11-22
US20180293653A1 (en) 2018-10-11
EP1812897A2 (en) 2007-08-01
US20140032390A1 (en) 2014-01-30
US20120047091A1 (en) 2012-02-23
CA2578095A1 (en) 2006-03-23
US20210398215A1 (en) 2021-12-23

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