CPC G06Q 40/06 (2013.01) | 12 Claims |
1. A system comprising:
one or more processors executing machine-readable instructions stored in a non-transitory storage medium, thereby causing the system to:
receive risk factor data from a plurality of data sources, the risk factor data comprising current real-time data and historical data associated with one or more financial portfolios;
generate an initial margin for the one or more financial portfolios, according to a historical risk factor simulation process, based on the risk factor data;
determine a stress metric to account for increases or decreases in the risk factor data by:
determining daily changes in the historical data,
determining a percentile of the daily changes using a variable that accounts for daily changes in volatility, and
applying a stress volatility treatment to the percentile using a risk factor anti-pro-cyclicality index;
determine a portfolio level liquidity charge for the one or more financial portfolios based on bid and ask spread data associated with the one or more financial portfolios;
determine a concentration charge for the one or more financial portfolios;
determine a total portfolio margin based on a combination of the initial margin, the stress metric, the portfolio level liquidity charge and the concentration charge;
create a summary risk report in a standardized format, the summary risk report comprising the total portfolio margin;
store the summary risk report in the standardized format in one or more databases;
format, based on preferences of a data recipient stored in the one or more databases, the summary risk report into a non-standardized format to allow for presentation on a graphical user interface (GUI) of the data recipient, the non-standardized format particular to the data recipient; and
distribute, via a data recipient interface, the formatted summary risk report to the data recipient according to one or more of a predefined time interval and a predetermined condition.
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