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.

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.

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.

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.

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.

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.

Abstract: Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.

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.

Abstract: Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.

Abstract: A computer system may calculate margin component values for a multi-currency credit default swap (CDS) portfolio. The portfolio may include a portion having positions corresponding to CDSs denominated in a first currency and a portion having positions corresponding to CDSs denominated in a second currency. Some of the calculated margin component values may be in terms of the first currency and some of the calculated margin component values may be in terms of the second currency. The calculated margin component values may be used to determined a margin requirement in the first currency and a margin requirement in the second currency.

Abstract: A computer system may access data describing positions in a portfolio. The portfolio positions may include a position in an index credit default swap corresponding to K separate credit entities. The computer system may calculate at least one margin component based on intrinsic values of the index credit default swap at multiple times t. An intrinsic value at a time t may be represented by a sum of weighted prices, at that time t, of single name credit default swaps corresponding to the K credit entities. The computer system may also calculate data representing a margin requirement that is based at least in part on the at least one margin component and may transmit data representing the margin requirement.

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.

Abstract: Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.

Abstract: Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.

Abstract: The disclosed embodiments relate to reducing, minimizing or otherwise optimizing margin requirements for a trader having both an interest rate (IR) futures and over-the-counter (OTC) interest rate swaps (IRS) accounts by efficiently allocating IR futures across both accounts.