US 12,406,308 B2
PCA-based portfolio margining
Udesh Jha, Chicago, IL (US); Jalpan Shah, Chicago, IL (US); Dmitriy Glinberg, Northbrook, IL (US); Edmund Li, Chicago, IL (US); and Feliks Landa, Glenview, IL (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on Jan. 30, 2024, as Appl. No. 18/426,743.
Application 18/426,743 is a continuation of application No. 18/111,693, filed on Feb. 20, 2023, granted, now 11,922,506.
Application 18/111,693 is a continuation of application No. 17/181,282, filed on Feb. 22, 2021, granted, now 11,605,133, issued on Mar. 14, 2023.
Application 17/181,282 is a continuation of application No. 16/783,061, filed on Feb. 5, 2020, granted, now 10,956,979, issued on Mar. 23, 2021.
Application 16/783,061 is a continuation of application No. 16/279,602, filed on Feb. 19, 2019, granted, now 10,586,287, issued on Mar. 10, 2020.
Application 16/279,602 is a continuation of application No. 13/956,707, filed on Aug. 1, 2013, granted, now 10,255,636, issued on Apr. 9, 2019.
Prior Publication US 2024/0169436 A1, May 23, 2024
Int. Cl. G06Q 40/00 (2023.01); G06Q 40/06 (2012.01)
CPC G06Q 40/06 (2013.01) 20 Claims
OG exemplary drawing
 
1. A computer-implemented method for determining a margin requirement for a financial portfolio, the computer-implemented method including:
generating, by a processor, a principal component analysis (PCA) model for a zero curve that characterizes the financial portfolio by:
obtaining historical return data; and
calculating a decayed log return based on the historical return data to determine a plurality of PCA factors;
computing, by the processor, a scenario curve based on the plurality of PCA factors, a count of the PCA factors being factor-deficient;
computing, by the processor, corresponding factor offsets for the plurality of PCA factors;
calculating, by the processor, loss risk data for each of the plurality of PCA factors based on at least loss values for each of the plurality of PCA factors for the scenario curve;
summing, by the processor, over the loss risk data to determine an initial margin requirement for the financial portfolio;
computing, by the processor, a reserve charge for each tenor associated with the financial portfolio;
determining, by the processor, an adjusted margin requirement for the financial portfolio based on the reserve charge for each tenor associated with the financial portfolio; and
applying, by the processor, the adjusted margin requirement to the financial portfolio.