Patents by Inventor Tae S. Yoo
Tae S. Yoo 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).
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Publication number: 20210398215Abstract: 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.Type: ApplicationFiled: September 1, 2021Publication date: December 23, 2021Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale Michaels, Edward M. Gogol
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Patent number: 11138660Abstract: 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.Type: GrantFiled: June 14, 2018Date of Patent: October 5, 2021Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale Michaels, Edward M. Gogol
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Publication number: 20180293653Abstract: 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.Type: ApplicationFiled: June 14, 2018Publication date: October 11, 2018Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale Michaels, Edward M. Gogol
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Patent number: 10026123Abstract: 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.Type: GrantFiled: October 2, 2013Date of Patent: July 17, 2018Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Publication number: 20150058258Abstract: A graphic user interface is disclosed that combines a traditional trading, bookkeeping system or clearing system window with a detailed margin and/or collateral asset calculation analysis window on a single screen. The disclosed GUI provides the flexibility to analyze any combination of products or instrument classes such as single stock futures, futures (of all types), options (of all types), forward contracts, security options, securities and cash-based assets. Conventional systems merely block entry of orders beyond a predetermined credit limit or display clearing/bookkeeping information on all types of portfolio or accounts.Type: ApplicationFiled: August 25, 2014Publication date: February 26, 2015Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Abudarham, Dale A. Michaels
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Publication number: 20140351169Abstract: A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.Type: ApplicationFiled: August 6, 2014Publication date: November 27, 2014Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Patent number: 8849711Abstract: A graphic user interface is disclosed that combines a traditional trading, bookkeeping system or clearing system window with a detailed margin and/or collateral asset calculation analysis window on a single screen. The disclosed GUI provides the flexibility to analyze any combination of products or instrument classes such as single stock futures, futures (of all types), options (of all types), forward contracts, security options, securities and cash-based assets. Conventional systems merely block entry of orders beyond a predetermined credit limit or display clearing/bookkeeping information on all types of portfolio or accounts.Type: GrantFiled: January 7, 2005Date of Patent: September 30, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Abudarham, Dale A. Michaels
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Patent number: 8825541Abstract: A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.Type: GrantFiled: August 15, 2013Date of Patent: September 2, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Publication number: 20140172674Abstract: A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).Type: ApplicationFiled: February 19, 2014Publication date: June 19, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Aburdarham, Dale A. Michaels
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Patent number: 8694417Abstract: A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).Type: GrantFiled: May 10, 2013Date of Patent: April 8, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Aburdarham, Dale A. Michaels
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Publication number: 20140032390Abstract: 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.Type: ApplicationFiled: October 2, 2013Publication date: January 30, 2014Applicant: Chicago Mercantile Exchange inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Publication number: 20130332392Abstract: A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.Type: ApplicationFiled: August 15, 2013Publication date: December 12, 2013Applicant: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Patent number: 8595126Abstract: A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).Type: GrantFiled: October 11, 2012Date of Patent: November 26, 2013Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Abudarham, Dale A. Michaels
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Patent number: 8577774Abstract: 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.Type: GrantFiled: July 30, 2012Date of Patent: November 5, 2013Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Publication number: 20130246250Abstract: A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).Type: ApplicationFiled: May 10, 2013Publication date: September 19, 2013Applicant: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Jodi L. Aburdarham, Dale A. Michaels
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Patent number: 8538852Abstract: A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.Type: GrantFiled: November 16, 2012Date of Patent: September 17, 2013Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Publication number: 20130232057Abstract: A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.Type: ApplicationFiled: April 17, 2013Publication date: September 5, 2013Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Publication number: 20130159211Abstract: A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.Type: ApplicationFiled: June 20, 2012Publication date: June 20, 2013Applicant: Chicago Mercantile ExchangeInventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol
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Patent number: 8442896Abstract: A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.Type: GrantFiled: August 21, 2012Date of Patent: May 14, 2013Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale Michaels, Edward M. Gogol
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Patent number: 8341062Abstract: A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.Type: GrantFiled: November 21, 2011Date of Patent: December 25, 2012Assignee: Chicago Mercantile Exchange Inc.Inventors: Dmitriy Glinberg, Tae S. Yoo, Dale A. Michaels, Edward Gogol