Method and system for determining margin requirements

Abstract

The present invention provides for a system and method of applying value-at-risk determination of a financial portfolio to a performance bond requirement and comparing the value-at-risk determination with a traditional scenario-based performance bond requirement.

1 . A method comprising:
 processing a position file indicating open market positions associated with a trading portfolio;   processing a value-at-risk variant file; and   computing, by a processor, a value-at-risk-based margin requirement based on the position file and the value-at-risk variant file.   
     
     
         2 . The method of  claim 1 , further comprising computing a scenario-based margin requirement based on the position file and a scenario-based parameter file. 
     
     
         3 . The method of  claim 2 , further comprising comparing the value-at-risk-based margin requirement with the scenario-based margin requirement to compute a revised margin requirement. 
     
     
         4 . The method of  claim 2 , further comprising applying a credit or debit to an account associated with the trading portfolio based on a difference between the value-at-risk-based margin requirement and the scenario-based margin. 
     
     
         5 . The method of  claim 2 , further comprising applying a credit or debit to the scenario-based margin requirement based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         6 . The method of  claim 2 , further comprising initiating a loan based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         7 . The method of  claim 1 , further comprising categorizing and storing value-at-risk parameters in a value-at-risk database. 
     
     
         8 . A computer readable medium storing computer executable instructions that, when executed, cause an apparatus at least to perform:
 processing a position file indicating open market positions associated with a trading portfolio;   processing a value-at-risk variant file; and   computing a value-at-risk-based margin requirement based on the position file and the value-at-risk variant file.   
     
     
         9 . The computer readable medium of  claim 8 , wherein the computer executable instructions, when executed, causes the apparatus to compute a scenario-based margin requirement based on the position file and a scenario-based parameter file. 
     
     
         10 . The computer readable medium of  claim 9 , wherein the computer executable instructions, when executed, causes the apparatus to compute a revised margin requirement based on a comparison of the value-at-risk-based margin requirement with the scenario-based margin requirement. 
     
     
         11 . The computer readable medium of  claim 9 , wherein the computer executable instructions, when executed, causes the apparatus to apply a credit or debit to an account associated with the trading portfolio based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         12 . The computer readable medium of  claim 9 , wherein the computer executable instructions, when executed, causes the apparatus to apply a credit or debit to the scenario-based margin requirement based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         13 . The computer readable medium of  claim 9 , wherein the computer executable instructions, when executed, causes the apparatus to initiate a loan based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         14 . The computer readable medium of  claim 8 , wherein the computer executable instructions, when executed, causes the apparatus to categorize and store value-at-risk parameters in a value-at-risk database. 
     
     
         15 . An apparatus comprising:
 a processor; and   a memory storing computer executable instructions that, when executed by the processor, causes the apparatus at least to perform:
 processing a position file indicating open market positions associated with a trading portfolio; 
 processing a value-at-risk variant file; and 
 computing a value-at-risk-based margin requirement based on the position file and the value-at-risk variant file. 
   
     
     
         16 . The apparatus of  claim 15 , wherein the computer executable instructions, when executed by the processor, causes the apparatus to compute a scenario-based margin requirement based on the position file and a scenario-based parameter file. 
     
     
         17 . The apparatus of  claim 16 , wherein the computer executable instructions, when executed by the processor, causes the apparatus to compute a revised margin requirement based on a comparison of the value-at-risk-based margin requirement with the scenario-based margin requirement. 
     
     
         18 . The apparatus of  claim 16 , wherein the computer executable instructions, when executed by the processor, causes the apparatus to apply a credit or debit to an account associated with the trading portfolio based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         19 . The apparatus of  claim 16 , wherein the computer executable instructions, when executed by the processor, causes the apparatus to apply a credit or debit to the scenario-based margin requirement based on a difference between the value-at-risk-based margin requirement and the scenario-based margin requirement. 
     
     
         20 . The apparatus of  claim 15 , wherein the computer executable instructions, when executed by the processor, causes the apparatus to categorize and store value-at-risk parameters in a value-at-risk database.