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公开(公告)号：US20240202829A1
公开(公告)日：2024-06-20
申请号：US18583286
申请日：2024-02-21
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
摘要： 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.
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公开(公告)号：US20220036462A1
公开(公告)日：2022-02-03
申请号：US17503884
申请日：2021-10-18
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
摘要： 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.
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公开(公告)号：US20170076375A1
公开(公告)日：2017-03-16
申请号：US14849904
申请日：2015-09-10
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： 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.
摘要翻译： 计算机系统可以计算多币种信用违约掉期（CDS）投资组合的保证金成分值。 投资组合可以包括具有对应于以第一货币计值的CDS的位置的部分，以及具有对应于以第二货币计价的CDS的位置的部分。 一些计算的保证金成分值可以是第一种货币的方式，一些计算的保证金成分值可以是第二种货币的数量。 计算的保证金成分值可用于确定第一种货币的保证金要求和第二种货币的保证金要求。
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公开(公告)号：US20200043093A1
公开(公告)日：2020-02-06
申请号：US16584851
申请日：2019-09-26
发明人： Evren Baysal , Kailin Ding , Nick Li , Lu Lu , Chao Wang , Panos Xythalis , Alice Yang , Jun Zhai
摘要： 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.
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公开(公告)号：US20170061541A1
公开(公告)日：2017-03-02
申请号：US14839342
申请日：2015-08-28
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
摘要： 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.
摘要翻译： 披露了计算机实施的系统和方法，可以有效快速地确定结算会员公司的担保资金。 披露的系统和方法考虑到自我参照风险的暴露。
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公开(公告)号：US10430880B2
公开(公告)日：2019-10-01
申请号：US14706673
申请日：2015-05-07
发明人： Evren Baysal , Kailin Ding , Nick Li , Lu Lu , Chao Wang , Panos Xythalis , Alice Yang , Jun Zhai
摘要： 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.
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公开(公告)号：US20150332404A1
公开(公告)日：2015-11-19
申请号：US14706673
申请日：2015-05-07
发明人： Evren Baysal , Kailin Ding , Nick Li , Lu Lu , Chao Wang , Panos Xythalis , Alice Yang , Jun Zhai
IPC分类号： G06Q40/06
摘要： 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.
摘要翻译： 提供系统和方法来计算清算信用投资组合的保证金要求和压力测试风险敞口。 这些保证金要求使用以下组成部分计算：差价风险，特殊风险，利率和流动性风险。 这些风险成分的计算是通过对信用违约互换工具的潜在工具的风险因素的详细统计分析来完成的。
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公开(公告)号：US11966977B2
公开(公告)日：2024-04-23
申请号：US18118284
申请日：2023-03-07
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
摘要： 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.
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公开(公告)号：US20230206336A1
公开(公告)日：2023-06-29
申请号：US18118284
申请日：2023-03-07
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
摘要： 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.
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公开(公告)号：US11625786B2
公开(公告)日：2023-04-11
申请号：US17503884
申请日：2021-10-18
发明人： Evren Baysal , Panagiotis Xythalis , Kailin Ding , Sixiang Li , Lu Lu , Jun Zhai
摘要： 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.
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