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1. 发明授权

US08849711B2 System and method for displaying a combined trading and risk management GUI display 有权
标题翻译：用于显示组合的交易和风险管理GUI显示的系统和方法
公开(公告)号：US08849711B2
公开(公告)日：2014-09-30
申请号：US11030814
申请日：2005-01-07
申请人： Dmitriy Glinberg , Tae S. Yoo , Jodi L. Abudarham , Dale A. Michaels
发明人： Dmitriy Glinberg , Tae S. Yoo , Jodi L. Abudarham , Dale A. Michaels
IPC分类号： G06Q40/00 , G06Q40/04 , G06Q40/06 , G06Q40/08
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/04 , G06Q40/08
摘要： A graphic user interface is disclosed that combines a traditional trading, bookkeeping system or clearing system window with a detailed margin and/or collateral asset calculation analysis window on a single screen. The disclosed GUI provides the flexibility to analyze any combination of products or instrument classes such as single stock futures, futures (of all types), options (of all types), forward contracts, security options, securities and cash-based assets. Conventional systems merely block entry of orders beyond a predetermined credit limit or display clearing/bookkeeping information on all types of portfolio or accounts. The disclosed GUI, in an automated real-time or manual execution control basis, provide the user useful information (all types of numerical and/or graphical display) concerning which products contribute to and how much each product position contribute to the margin limits on, for example, multiple levels; all types of product level, product period (duration) level, account level and clearing level, etc. In one embodiment, the margin window may include a “what if” Scenario Panel and an “Actuals” Margin Analysis Panel. This Scenario Panel allows the user to experiment with “what-if” scenarios in real time or on an as-needed basis. This allows the user to better assess the changes an “actual” position(s) or “what-if” position(s) may have on the margin requirements on all account level types. Further, the actual panel displays the account's actual positions and the associated contributions each position has to that account's margin requirements.
摘要翻译：公开了一种图形用户界面，其在单个屏幕上将传统的交易，记账系统或清算系统窗口与详细的保证金和/或附属资产计算分析窗口相结合。所公开的GUI提供了灵活性来分析产品或仪器类别的任何组合，例如单一股票期货，所有类型的期货（所有类型的期权），远期合约，证券期权，证券和现金资产。常规系统仅阻止超出预定信用限额的订单输入或显示关于所有类型的投资组合或账户的清算/记账信息。所公开的GUI以自动化实时或手动执行控制为基础，为用户提供有关哪些产品所贡献的有用信息（所有类型的数字和/或图形显示）以及每个产品位置对边际限度的贡献，例如，多层次; 所有类型的产品级别，产品期限（持续时间）级别，帐户级别和结算级别等。在一个实施例中，边际窗口可以包括“假设”情景面板和“实际”边距分析面板。该场景面板允许用户实时或根据需要实验“假设”情景。这允许用户更好地评估所有帐户级别类型的“实际”位置或“假设”位置对保证金要求的影响。此外，实际面板显示该账户的实际头寸以及每个职位对该账户的保证金要求的相关贡献。

2. 发明申请

US20130159211A1 System and Method for Efficiently Using Collateral for Risk Offset 审中-公开
标题翻译：有效利用抵押品进行风险抵消的制度和方法
公开(公告)号：US20130159211A1
公开(公告)日：2013-06-20
申请号：US13528464
申请日：2012-06-20
申请人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.
摘要翻译：披露了一种系统和方法，用于分析交易员提供的资产与抵押品之间的相关性以及该交易者的未平仓头寸。因此，如果抵押品与交易者的敞口头寸相关，则可以给出一些偏移量。如果没有相关性，则以常规方式评估抵押品。例如，如果交易者提供账单作为T账单中具有未平仓头寸（例如短期期货）的抵押品，那么该交易者的账户可以从T账单和T账单的价值中扣除一定的抵消期货高度相关。

3. 发明授权

US08341062B2 System and method of margining fixed payoff products 有权
标题翻译：固定收益产品保证金的制度和方法
公开(公告)号：US08341062B2
公开(公告)日：2012-12-25
申请号：US13300881
申请日：2011-11-21
申请人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q20/102 , G06Q40/00 , G06Q40/04 , G06Q40/08
摘要： A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.
摘要翻译：公开了一种用于确定固定回报产品的履约保证金的系统和方法，即基于潜在事件的结果而支付固定金额的合同，而不管其价值如何。计算可能包含更多多个工具的整体投资组合的最糟糕的结果，允许投资组合在同一基础事件上兼顾长仓和空头头寸，并在投资组合中的工具之间进行抵消。构建结果的整体包括具有单一结果的单事件及其概率，以及具有多个结果的单个事件，每个具有概率。每个结果都有相关的价格和概率。低概率事件将具有低值，导致较低的保证金要求。因此，保证金要求是根据其概率进行调整的投资组合对潜在事件的任何可能结果所能承受的最大损失的金额。

4. 发明申请

US20120303550A1 System and Method for Using Diversification Spreading for Risk Offset 有权
标题翻译：用于风险抵消的多元化传播的系统和方法
公开(公告)号：US20120303550A1
公开(公告)日：2012-11-29
申请号：US13570061
申请日：2012-08-08
申请人： Dmitriy Glinberg , Edward Gogol , Dale A. Michaels
发明人： Dmitriy Glinberg , Edward Gogol , Dale A. Michaels
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06 , G06Q40/025 , G06Q40/04
摘要： A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit.
摘要翻译：公开了一种用于分析与包括在交易所上交易的多个产品的投资组合相关联的风险偏移的计算机实现的方法。该方法包括将投资组合中的第一产品的第一市场反应与投资组合中的第二产品的第二市场反应进行比较，其中第一和第二市场反应由市场数据的变化产生，计算第一市场之间的抵消效应响应和第二个市场反应，其中第一和第二市场反应与市场数据的相同变化的响应大不相同，基于在第一产品和第二产品之间产生的抵消效应来确定多元化扩展，计算多样化扩展信用基于确定的多元化差距，并根据多元化扩张信贷调整投资组合的保证金要求。

5. 发明申请

US20120296850A1 System and Method for Asymmetric Offsets in a Risk Management System 有权
标题翻译：风险管理系统中非对称偏移的系统和方法
公开(公告)号：US20120296850A1
公开(公告)日：2012-11-22
申请号：US13561997
申请日：2012-07-30
申请人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
IPC分类号： G06Q40/06
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06 , G06Q40/08
摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
摘要翻译：公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。然而，期望允许非对称偏移。在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。改变产品之间的偏移有很多原因。不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

6. 发明授权

US08249973B2 System and method for asymmetric offsets in a risk management system 有权
标题翻译：风险管理系统中非对称抵消的系统和方法
公开(公告)号：US08249973B2
公开(公告)日：2012-08-21
申请号：US13284336
申请日：2011-10-28
申请人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06 , G06Q40/08
摘要： A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading.
摘要翻译：公开了一种在风险管理分析系统中对产品使用不对称偏移的系统和方法。常规系统为产品分配对称偏移量，即如果两个产品具有80％的相关性，则它们各自被分配相对于彼此的80％的偏移。然而，期望允许非对称偏移。在所公开的系统和方法中，当两个产品具有80％的相关性时，可以分配一个75％的偏移量，另一个可以被分配为80％的偏移量。改变产品之间的偏移有很多原因。不同的偏移量可能反映了其中一个产品中的风险的不对称性，例如在流动不足的市场或不太理想的地点进行交易。由于内部传播的特殊收费，不同的偏移量可能会纠正扩展信用的不平衡。

7. 发明申请

US20120072373A1 System and Method of Margining Fixed Payoff Products 有权
标题翻译：固定收益产品保证金制度与方法
公开(公告)号：US20120072373A1
公开(公告)日：2012-03-22
申请号：US13300881
申请日：2011-11-21
申请人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
发明人： Dmitriy Glinberg , Tae S. Yoo , Dale A. Michaels , Edward Gogol
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06 , G06Q20/102 , G06Q40/00 , G06Q40/04 , G06Q40/08
摘要： A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof.
摘要翻译：公开了一种用于确定固定回报产品的履约保证金的系统和方法，即基于潜在事件的结果而支付固定金额的合同，而不管其价值如何。计算可能包含更多多个工具的整体投资组合的最糟糕的结果，允许投资组合在同一基础事件上兼顾长仓和空头头寸，并在投资组合中的工具之间进行抵消。构建结果的整体包括具有单一结果的单事件及其概率，以及具有多个结果的单个事件，每个具有概率。每个结果都有相关的价格和概率。低概率事件将具有较低的值，导致较低的保证金要求。因此，保证金要求是根据其概率进行调整的投资组合对潜在事件的任何可能结果所能承受的最大损失的金额。

8. 发明申请

US20120041892A1 OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS 有权
标题翻译：用于事件驱动呼叫和选择选项的选项定价模型
公开(公告)号：US20120041892A1
公开(公告)日：2012-02-16
申请号：US13229237
申请日：2011-09-09
申请人： Dmitriy Glinberg , Feliks Landa
发明人： Dmitriy Glinberg , Feliks Landa
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06 , G06Q40/04
摘要： Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.
摘要翻译：提供系统和方法用于评估事件驱动的期权合约。基于跳跃扩散的模型，例如基于默顿跳跃扩散的模型，被修改为假设潜在价格和单次跳跃的算术运动。潜在价格的算术运算可以用基于Bachelier的算术模型来建模。计算值可用于确定保证金账户要求。

9. 发明授权

US08103578B2 System and method for multi-factor modeling, analysis and margining of credit default swaps for risk offset 有权
标题翻译：信用违约掉期风险抵消的多因素建模，分析和保证金的系统和方法
公开(公告)号：US08103578B2
公开(公告)日：2012-01-24
申请号：US12559905
申请日：2009-09-15
申请人： Michal Koblas , Mohammed Hadi , Ketan B. Patel , Dmitriy Glinberg
发明人： Michal Koblas , Mohammed Hadi , Ketan B. Patel , Dmitriy Glinberg
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/025 , G06Q40/06
摘要： A system and method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method include receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a systematic risk margin based on at least a portion of the received plurality of data, determining a curve risk margin based on at least a second portion of the received plurality of data, determining a convergence and divergence risk margin based on at least a third portion of the received plurality of data, determining a sector risk margin based on at least a fourth portion of the received plurality of data, determining an idiosyncratic risk margin based on at least a fifth portion of the received plurality of data, determining a liquidity risk margin based on at least a sixth portion of the received plurality of data, determining a basis risk margin based on at least a seventh portion of the received plurality of data, and calculating a multi-factor risk margin based on one more of the determined risk factors.
摘要翻译：公开了一种用于确定与投资组合内的多个金融工具相关联的保证金要求的系统和方法。该系统和方法包括接收与投资组合内的多个金融工具相关联的多个数据，基于所接收的多个数据的至少一部分来确定系统风险余额，基于至少第二个接收的多个数据的一部分，基于所接收的多个数据的至少第三部分确定收敛和发散风险余额，基于所接收的多个数据的至少第四部分确定扇区风险余量，确定一个基于接收到的多个数据的至少五分之一的特殊风险余额，基于所接收的多个数据的至少第六部分确定流动性风险余额，基于至少第七部分的收到多个数据，并根据确定的危险因素中的一个以上计算多因素风险余额。

10. 发明申请

US20100257122A1 SYSTEM AND METHOD FOR ACTIVITY BASED MARGINING 有权
标题翻译：基于活动的系统和方法
公开(公告)号：US20100257122A1
公开(公告)日：2010-10-07
申请号：US12815013
申请日：2010-06-14
申请人： Dmitriy Glinberg , Tae S. Yoo , Jodi L. Abudarham , Dale A. Michaels
发明人： Dmitriy Glinberg , Tae S. Yoo , Jodi L. Abudarham , Dale A. Michaels
IPC分类号： G06Q40/00 , G06F17/30
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/025 , G06Q40/06
摘要： A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).
摘要翻译：披露了将交易者交易活动纳入保证金要求的制度和方法。在证券领域，日间交易商的差价比非日交易者的利润率进行评估，然而，分析了交易者的具体情况（也就是同一规则适用于全天交易者）。

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