Patents by Inventor Kevin KRABBENHOEFT

Kevin KRABBENHOEFT 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).

  • Method and system for calculating and providing initial margin under the standard initial margin model
    Patent number: 10515410
    Abstract: A Standard Initial Margin Model (SIMM) is calculated and provided as an overall initial margin for non-cleared derivatives. In certain embodiments, using at least one computing device, information associated with a plurality of risk classes is acquired, and a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated is determined. The at least one computing device calculates initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin. The at least one computing device determines whether product classes will be used in calculating the overall initial margin, calculates the overall initial margin using an equation based on the determination, and provides the overall initial margin. The amount of the initial margin call for the underlying derivatives contract may then be generated based on the calculated initial margin.
    Type: Grant
    Filed: April 29, 2016
    Date of Patent: December 24, 2019
    Assignee: International Swaps and Derivatives Association, Inc.
    Inventors: Tomo Kodama, Nicholas Steele, Alistair Smith, Athanassios Diplas, Oliver Frankel, Kevin Krabbenhoeft, Robert Liu, Hitanshi Thaman
  • METHOD AND SYSTEM FOR CALCULATING AND PROVIDING INITIAL MARGIN UNDER THE STANDARD INITIAL MARGIN MODEL
    Publication number: 20160321753
    Abstract: A Standard Initial Margin Model (SIMM) is calculated and provided as an overall initial margin for non-cleared derivatives. In certain embodiments, using at least one computing device, information associated with a plurality of risk classes is acquired, and a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated is determined. The at least one computing device calculates initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin. The at least one computing device determines whether product classes will be used in calculating the overall initial margin, calculates the overall initial margin using an equation based on the determination, and provides the overall initial margin. The amount of the initial margin call for the underlying derivatives contract may then be generated based on the calculated initial margin.
    Type: Application
    Filed: April 29, 2016
    Publication date: November 3, 2016
    Inventors: Tomo KODAMA, Nicholas STEELE, Alistair SMITH, Athanassios DIPLAS, Oliver FRANKEL, Kevin KRABBENHOEFT, Robert LIU, Hitanshi THAMAN