Patents by Inventor Ankeet Dehdia

Ankeet Dehdia has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset
    Patent number: 8108281
    Abstract: A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The method includes receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a shock value for each of a plurality of risk factors within a multi-factor risk model, such that the shock factor is determined based on the received plurality of data, calculating a maximum risk margin for each of the plurality of risk factors, and calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors.
    Type: Grant
    Filed: July 21, 2010
    Date of Patent: January 31, 2012
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Michal Koblas, Muhammed Hadi, Ketan B. Patel, Ankeet Dehdia, Mu Wang
  • SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET
    Publication number: 20110035342
    Abstract: A method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The method includes receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a shock value for each of a plurality of risk factors within a multi-factor risk model, such that the shock factor is determined based on the received plurality of data, calculating a maximum risk margin for each of the plurality of risk factors, and calculating a total multi-factor risk margin based on maximum risk margin for each of the plurality of risk factors.
    Type: Application
    Filed: July 21, 2010
    Publication date: February 10, 2011
    Inventors: Michal Koblas, Muhammed Hadi, Ketan B. Patel, Ankeet Dehdia, Mu Wang