首页>
外国专利>
Margin Requirement Based on Intrinsic Value of Index CDS
Margin Requirement Based on Intrinsic Value of Index CDS
展开▼
机译：基于指数CDS内在价值的保证金要求
展开▼
页面导航
摘要
著录项
相似文献
摘要
A computer system may access data describing positions in a portfolio. The portfolio positions may include a position in an index credit default swap corresponding to K separate credit entities. The computer system may calculate at least one margin component based on intrinsic values of the index credit default swap at multiple times t. An intrinsic value at a time t may be represented by a sum of weighted prices, at that time t, of single name credit default swaps corresponding to the K credit entities. The computer system may also calculate data representing a margin requirement that is based at least in part on the at least one margin component and may transmit data representing the margin requirement.
展开▼
