Method of determining a capital-at-risk for a clearing house
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United States of America Patent
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Issued Date -
Dec 2, 2004
app pub date -
May 27, 2003
filing date -
May 27, 2003
priority date (Note) -
Abandoned
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Abstract
In an algorithm for estimating the required capital-at-risk of the clearing capital used by a computer system the system will receive a number of positions for accounts associated with the clearing house and estimate the market value of the accounts at a number of different scenarios. The algorithm will then sum the accounts associated with the highest losses to a sum indicative of a potential loss, which sum will be used as the capital-at-risk for the clearing house.
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