Systems and methods for determining an initial margin

Patent metadata

Field	Value
Publication number	US-2023026483-A1
Application number	US-202217942793-A
Country	US
Kind code	A1
Filing date	Sep 12, 2022
Priority date	Jun 17, 2013
Publication date	Jan 26, 2023
Grant date	—

Abstract

An exemplary system according to the present disclosure comprises a computing device that in operation, causes the system to receive financial product or financial portfolio data, map the financial product to a risk factor, execute a risk factor simulation process involving the risk factor, generate product profit and loss values for the financial product or portfolio profit and loss values for the financial portfolio based on the risk factor simulation process, and determine an initial margin for the financial product. The risk factor simulation process can be a filtered historical simulation process.

First claim

1 . A system comprising:
one or more processors executing machine-readable instructions stored in a non-transitory storage medium, thereby causing the system to: receive portfolio profit and loss (PNL) data and portfolio position data associated with one or more financial portfolios; determine a portfolio level liquidity risk for the one or more financial portfolios based on the PNL data and the portfolio position data; execute one or more assessment processes on the portfolio level liquidity risk to account for price movements; and execute one or more assessment processes on the portfolio level liquidity risk to account for market volatility.

2 . The system of claim 1 , further comprising machine-readable instructions that, when executed by the one or more processors, further cause the system to:
determine a concentration charge and a bid-ask charge based on one or more equivalent portfolio representations of the one or more financial portfolios, in accordance with the PNL data and the portfolio position data; and determine the portfolio level liquidity risk based on the combination of the concentration charge and the bid-ask charge.

3 . The system of claim 2 , wherein the one or more equivalent portfolio representations comprise a first representation based on a delta technique and a second representation based on a value-at-risk (VaR) technique.

4 . The system of claim 1 , further comprising machine-readable instructions that, when executed by the one or more processors, further cause the system to:
generate one or more synthetic datasets configured to model at least one of a benign condition and a regime change condition.

5 . The system of claim 1 , further comprising machine-readable instructions that, when executed by the one or more processors, further cause the system to:
receive risk factor data associated with the one or more financial portfolios; execute a risk factor simulation process based on the risk factor data, the risk factor simulation process comprising a filtered historical simulation process configured to apply a scaling factor to historical pricing data for the risk factor data to resemble current market volatility; and generate portfolio profit and loss values for the one or more financial portfolios based on results of the risk factor simulation process, the portfolio profit and loss values forming the PNL data.

6 . The system of claim 5 , further comprising machine-readable instructions that, when executed by the one or more processors, further cause the system to:
determine an initial margin for the one or more financial portfolios based on the portfolio profit and loss values.

7 . The system of claim 6 , further comprising a margin model defined by the machine-readable instructions and executed by the one or more processors, the margin model configured to execute the risk factor simulation process and generate the initial margin.

8 . The system of claim 7 , further comprising a liquidity risk charge (LRC) model defined by the machine-readable instructions and executed by the one or more processors, the LRC model configured to determine the portfolio level liquidity risk, execute the one or more assessment processes to account for the price movements and execute the one or more assessment processes to account for the market volatility.

9 . The system of claim 8 , further comprising machine-readable instructions that, when executed by the one or more processors, further cause the system to:
test one or more of the margin model and the LRC model according to one or more testing categories, wherein the one or more testing categories comprise one or more of fundamental characteristics, backtesting, pro-cyclicality, sensitivity, incremental addition of one or more model components, model comparison with historical simulation, and assumption backtesting.

10 . The system of claim 1 , wherein the one or more financial portfolios comprise one or more financial products and one or more currencies.

Assignees

• Intercontinental Exchange Holdings Inc

Inventors

• Maruyama Atsushi
• Duinstra Boudewijn
• Schlegel Christian A M
• De Almeida Daniel R
• Cerezetti Fernando V
• Medina Gabriel E S
• Issa Ghais
• Yekutieli Iddo
• Drean Jerome M
• Keppeler Marcus
• Mrabet Rafik
• Pounds Stephen R
• Jiang Wen
• Hu Yanyan
• Yang Yunke

Classifications

• G06Q40/06 Primary

  Asset management; Financial planning or analysis · CPC title