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公开(公告)号：US20230026483A1
公开(公告)日：2023-01-26
申请号：US17942793
申请日：2022-09-12
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： 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.
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公开(公告)号：US11948197B2
公开(公告)日：2024-04-02
申请号：US17942793
申请日：2022-09-12
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： 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.
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公开(公告)号：US11928734B2
公开(公告)日：2024-03-12
申请号：US17719983
申请日：2022-04-13
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： 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.
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公开(公告)号：US11023978B2
公开(公告)日：2021-06-01
申请号：US17104403
申请日：2020-11-25
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
摘要： 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.
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公开(公告)号：US20230021616A1
公开(公告)日：2023-01-26
申请号：US17942729
申请日：2022-09-12
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： 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.
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公开(公告)号：US11321782B2
公开(公告)日：2022-05-03
申请号：US17530591
申请日：2021-11-19
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
摘要： 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.
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公开(公告)号：US10922755B2
公开(公告)日：2021-02-16
申请号：US16775970
申请日：2020-01-29
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
摘要： 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.
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公开(公告)号：US11954734B2
公开(公告)日：2024-04-09
申请号：US17942729
申请日：2022-09-12
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： 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.
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公开(公告)号：US20220076345A1
公开(公告)日：2022-03-10
申请号：US17530591
申请日：2021-11-19
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
IPC分类号： G06Q40/06
摘要： 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.
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公开(公告)号：US11216886B2
公开(公告)日：2022-01-04
申请号：US17221052
申请日：2021-04-02
发明人： Atsushi Maruyama , Boudewijn Duinstra , Christian A. M. Schlegel , Daniel R. de Almeida , Fernando V. Cerezetti , Gabriel E. S. Medina , Ghais Issa , Iddo Yekutieli , Jerome M. Drean , Marcus Keppeler , Rafik Mrabet , Stephen R. Pounds , Wen Jiang , Yanyan Hu , Yunke Yang
摘要： 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.
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