公开(公告)号：US20120317055A1

公开(公告)日：2012-12-13

申请号：US13590505

申请日：2012-08-21

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/06

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： 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.

公开(公告)号：US08073764B2

公开(公告)日：2011-12-06

申请号：US12188601

申请日：2008-08-08

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/08 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/06

摘要： A risk management system and method is disclosed which utilizes a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. In the disclosed embodiments, multiple different types of spreading are combined to allow for a more accurate assessment of risk. In one exemplary embodiment, a subset of the derivative products held by a futures trader are first analyzed by the scanning based spreading methodology. Typically, futures products in the same class of products (e.g. equity futures or agricultural futures) would be analyzed together by the scanning based spreading methodology. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products (not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in a variety of ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.

摘要翻译： 公开了一种风险管理系统和方法，该风险管理系统和方法利用可以并入现有风险管理软件的灵活且可配置的一组扩展技术，以增强功能性，灵活性和准确性。 在所公开的实施例中，组合多种不同类型的扩展以允许更准确地评估风险。 在一个示例性实施例中，由期货交易者持有的衍生产品的子集首先通过基于扫描的扩展方法进行分析。 通常，同一类产品（例如股票期货或农业期货）中的期货产品将通过基于扫描的扩展方法进行一起分析。 然后计算该子集的平均增量。 使用该增量，然后将使用基于增量的扩展方法来分析该子集相对于剩余的衍生产品（而不是子集）。 可以以各种方式计算子集的增量，包括缩放每个产品的增量，将增量绑定到固定时间段或其他方法。

公开(公告)号：US20090177592A1

公开(公告)日：2009-07-09

申请号：US12403743

申请日：2009-03-13

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： 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.

摘要翻译： 披露了基于一套灵活规则进行衍生产品组合风险分析的系统和方法。 系统和方法允许创建预定义的产品集，以期将来的风险抵消。 如果期货交易作为满足阈值水平的该组产品的子集，则该子集被分配预定义集合的偏移值（或偏移值的比例或其他部分）。 例如，假设预定义的集合包含一个标准普尔500期货，一个纳斯达克期货，一个标普中盘400期货和一个罗素1000期货，阈值为三。 如果期货交易员持有这四个期货中的三个期货，则可以对三个期货进行分组，分配一个抵消价值，该组可作为一个资产用于进一步的风险抵消。

公开(公告)号：US08271373B2

公开(公告)日：2012-09-18

申请号：US13345380

申请日：2012-01-06

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： 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.

摘要翻译： 披露了基于一套灵活规则进行衍生产品组合风险分析的系统和方法。 系统和方法允许创建预定义的产品集，以期将来的风险抵消。 如果作为满足阈值水平的该组产品的子集的期货交易，那么该子集被分配预定义集合的偏移值（或偏移值的比例或其他部分）。 例如，假设预定义的集合包含一个标准普尔500期货，一个纳斯达克期货，一个标普中盘400期货和一个罗素1000期货，阈值为三。 如果期货交易员持有这四个期货中的三个期权，则可以对三个期货进行分组，分配一个抵消价值，该组可以用作一个资产，用于进一步的风险抵消。

公开(公告)号：US20120059772A1

公开(公告)日：2012-03-08

申请号：US13285135

申请日：2011-10-31

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/06

CPC分类号： G06Q40/08 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/06

摘要： A risk management system and method is disclosed utilizing a flexible and configurable set of spreading techniques which may be incorporated into existing risk management software to enhance functionality, flexibility and accuracy. Multiple different types of spreading are combined allowing for a more accurate risk assessment. For example, a subset of derivative products held by a futures trader are first analyzed using a scanning based spreading methodology. Typically, futures products in the same product class (e.g. equity or agriculture futures) would be analyzed together thereby. Then an average delta would be calculated for that subset. Using that delta, that subset would then be analyzed in relation to the remaining derivative products (not in the subset) using a delta based spreading methodology. The delta for the subset could be computed in many ways including scaling the deltas for each product, tying the delta to a fixed time period or other methods.

摘要翻译： 公开了利用灵活且可配置的一组扩展技术的风险管理系统和方法，其可并入现有的风险管理软件中以增强功能性，灵活性和准确性。 组合多种不同类型的传播可以进行更准确的风险评估。 例如，使用基于扫描的扩展方法首先分析由期货交易者持有的衍生产品的子集。 通常，同一产品类别的期货产品（例如股票或农业期货）将一起分析。 然后计算该子集的平均增量。 使用该增量，然后将使用基于增量的扩展方法来分析该子集相对于剩余的衍生产品（而不是子集）。 可以以许多方式计算子集的增量，包括缩放每个产品的增量，将增量绑定到固定时间段或其他方法。

公开(公告)号：US20120047091A1

公开(公告)日：2012-02-23

申请号：US13284336

申请日：2011-10-28

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06 ,  G06Q40/08

摘要： 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.

摘要翻译： 公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。 常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。 然而，期望允许非对称偏移。 在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。 改变产品之间的偏移有很多原因。 不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。 由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

公开(公告)号：US08069109B2

公开(公告)日：2011-11-29

申请号：US12540765

申请日：2009-08-13

申请人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

发明人： Dmitriy Glinberg ,  Edward Gogol ,  Dale A. Michaels

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/025 ,  G06Q40/04

摘要： A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes analyzing, by a processor, a first product in a portfolio, wherein the first product has a first market response in response to market data, analyzing, by a processor, a second product in a portfolio, wherein the second product has a second market response in response to the market data, determining, by a processor, a diversification spread, the diversification spread representative of an offsetting effect between the first product and the second product, wherein the offsetting effect results from the first market response being substantially different than the second market response in response to similar market data, determining, by the processor, a diversification spread credit based on the diversification spread of the plurality of products, and adjusting, by the processor, a margin requirement for the portfolio based on the diversification spread credit.

摘要翻译： 公开了一种用于分析与包括在交易所上交易的多个产品的投资组合相关联的风险偏移的计算机实现的方法。 该方法包括由处理器分析投资组合中的第一产品，其中第一产品响应于市场数据具有第一市场响应，由处理器分析投资组合中的第二产品，其中第二产品具有 响应于市场数据的第二市场响应，由处理器确定多样化扩展，表示第一产品和第二产品之间的抵消效应的多样化扩展，其中来自第一市场响应的抵消效应基本上不同 比第二次市场响应响应类似的市场数据，由处理器确定基于多个产品的多样化扩展的多元化传播信用，并且由处理器调整基于多样化的投资组合的保证金要求 传播信用。

公开(公告)号：US08055567B2

公开(公告)日：2011-11-08

申请号：US12188510

申请日：2008-08-08

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： 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.

摘要翻译： 披露了一种系统和方法，用于分析交易商提供的资产与抵押品之间的相关性和该交易者的未平仓头寸。 因此，如果抵押品与交易者的敞口头寸相关，则可以给出一些偏移量。 如果没有相关性，则以常规方式评估抵押品。 例如，如果交易者提供账单作为T账单中具有未平仓头寸（例如短期期货）的抵押品，那么该交易者的账户可以从T账单和T账单的价值中扣除一定的抵消 期货高度相关。

公开(公告)号：US07430539B2

公开(公告)日：2008-09-30

申请号：US11030849

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G08Q40/00

CPC分类号： G06Q40/06 ,  G06Q20/102 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/08

摘要： A system and method is disclosed for determining performance bonds related to fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the particular value of the underlying event. The worst outcome of the overall portfolio, which may contain more than one instrument, is calculated. This permits the portfolio to have both long and short positions on the same underlying event and offsets, e.g. long (bought but not closed out) and short (sold but not closed out) positions, among instruments in the portfolio are factored in. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, an single events with multiple outcomes, each with a probability thereof. This universe is implemented in a matrix probabilities on different outcomes, also referred to as “strikes.” Each strike/outcome then has an associated price and probability, typically factored together as single value reflective of both. Events with low probability will have low values, resulting in a lower margin requirement, as will be explained below. The margin requirement/performance bond is then set equal to the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability of the outcome.

摘要翻译： 公开了一种用于确定与固定收益产品相关的履约保证金的系统和方法，即基于底层事件的结果而支付固定金额的合约，而不管基础事件的特定价值如何。 计算可能包含多个仪器的整体投资组合的最糟糕的结果。 这允许投资组合在相同的底层事件和偏移量上具有长仓和短仓。 长期（买入但并非封闭）和短期（已出售但未结算）的头寸，投资组合中的工具都被考虑在内。构建了一个结果的宇宙，包括具有单一结果的单一事件及其概率，单个事件与 多个结果，每个都有概率。 这个宇宙是以不同结果的矩阵概率来实现的，也称为“罢工”。 每个罢工/结果都具有相关的价格和概率，通常被认为是反映两者的单一价值。 低概率的事件将具有较低的价值，导致较低的保证金要求，如下所述。 然后将保证金要求/履约保证金设置为等于投资组合对潜在事件的任何可能结果所能承受的最大损失的金额，并根据结果的可能性进行调整。

公开(公告)号：US07426487B2

公开(公告)日：2008-09-16

申请号：US11030796

申请日：2005-01-07

申请人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

发明人： Dmitriy Glinberg ,  Tae S. Yoo ,  Dale A. Michaels ,  Edward Gogol

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： 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.

摘要翻译： 披露了一种系统和方法，用于分析交易员提供的资产与抵押品之间的相关性以及该交易者的未平仓头寸。 因此，如果抵押品与交易者的敞口头寸相关，则可以给出一些偏移量。 如果没有相关性，则以常规方式评估抵押品。 例如，如果交易者提供账单作为T账单中具有未平仓头寸（例如短期期货）的抵押品，那么该交易者的账户可以从T账单和T账单的价值中扣除一定的抵消 期货高度相关。