WO2008020963A3 - System and method for using diversification spreading for risk offset - Google Patents

System and method for using diversification spreading for risk offset Download PDF

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Publication number
WO2008020963A3
WO2008020963A3 PCT/US2007/016610 US2007016610W WO2008020963A3 WO 2008020963 A3 WO2008020963 A3 WO 2008020963A3 US 2007016610 W US2007016610 W US 2007016610W WO 2008020963 A3 WO2008020963 A3 WO 2008020963A3
Authority
WO
WIPO (PCT)
Prior art keywords
portfolio
products
risk
diversification
risk offset
Prior art date
Application number
PCT/US2007/016610
Other languages
French (fr)
Other versions
WO2008020963A2 (en
Inventor
Dimitriy Glinberg
Edward Gogol
Dale A Michaels
Original Assignee
Chicago Mercantile Exchange
Dimitriy Glinberg
Edward Gogol
Dale A Michaels
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, Dimitriy Glinberg, Edward Gogol, Dale A Michaels filed Critical Chicago Mercantile Exchange
Publication of WO2008020963A2 publication Critical patent/WO2008020963A2/en
Publication of WO2008020963A3 publication Critical patent/WO2008020963A3/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
    • G06Q40/06—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

Landscapes

  • Engineering & Computer Science (AREA)
  • Business, Economics & Management (AREA)
  • Finance (AREA)
  • Accounting & Taxation (AREA)
  • Development Economics (AREA)
  • Theoretical Computer Science (AREA)
  • Physics & Mathematics (AREA)
  • General Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Operations Research (AREA)
  • Human Resources & Organizations (AREA)
  • Game Theory and Decision Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

A system and method for analyzing a portfolio that includes a variety of diverse products is disclosed. The system and method determines the extent or non-extent of the correlation between the products within the portfolio in order to offset the risk associated with the portfolio Thus, if the products within the portfolio are determined to be diverse and uncorrelated, a credit can be assigned or applied to the portfolio or an initial margin associated with the portfolio in order to determine a diversification spread based performance bond or margin that reflects the determined risk of the portfolio.
PCT/US2007/016610 2006-08-15 2007-07-24 System and method for using diversification spreading for risk offset WO2008020963A2 (en)

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US11/504,379 2006-08-15
US11/504,379 US7593879B2 (en) 2005-01-07 2006-08-15 System and method for using diversification spreading for risk offset

Publications (2)

Publication Number Publication Date
WO2008020963A2 WO2008020963A2 (en) 2008-02-21
WO2008020963A3 true WO2008020963A3 (en) 2008-10-16

Family

ID=39082514

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2007/016610 WO2008020963A2 (en) 2006-08-15 2007-07-24 System and method for using diversification spreading for risk offset

Country Status (2)

Country Link
US (1) US7593879B2 (en)
WO (1) WO2008020963A2 (en)

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Also Published As

Publication number Publication date
US7593879B2 (en) 2009-09-22
WO2008020963A2 (en) 2008-02-21
US20060277134A1 (en) 2006-12-07

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