Computer-Implemented Systems and Methods for Hedging with Contractual Flows
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United States of America Patent
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May 14, 2015
app pub date -
Nov 10, 2014
filing date -
Nov 8, 2013
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Abstract
This disclosure describes computer-program products, systems and computer-implemented methods for optimal liquidity reserve planning. Liquidity portfolio optimization models are disclosed that hedge with contractual cash flows and/or hedge with counterbalancing capacity. With respect to hedging with contractual cash flows, disclosed embodiments receive a minimum solvency rate for a simulation of future events that specifies a percentage of simulation scenarios in which a solvent stress test outcome is achieved, and a minimum cost portfolio is identified that provides solvency in a percentage of simulation scenarios that meets or exceeds the minimum solvency rate. With respect to hedging with counterbalancing capacity, a hedging portfolio is structured by executing a liquidity portfolio optimization model, which prescribes a series of liquidity execution actions related to management of the hedging portfolio with respect to at least one random simulation scenario.
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