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A method of localization and frontier of combined margin calculation model

A calculation model and margin technology, which is applied in the localization and frontier field of the combined margin calculation model, can solve the problems of high pressure on customers' funds, difficulty in accurately and effectively measuring derivatives such as options, and low capital use efficiency, so as to maintain the advanced nature. Effect

Pending Publication Date: 2020-05-29
郑州易盛信息技术有限公司 +1
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Problems solved by technology

[0002] At present, domestic exchanges generally use a linear strategy portfolio margin model to assess position risk. Due to the non-linear characteristics of option products, this model is difficult to accurately and effectively measure the risks of derivative products such as options. Only by charging a higher margin to maintain the risk control level, Facing problems such as low capital utilization efficiency and high pressure on customers' funds

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  • A method of localization and frontier of combined margin calculation model
  • A method of localization and frontier of combined margin calculation model
  • A method of localization and frontier of combined margin calculation model

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Embodiment Construction

[0021] The following clearly and completely describes the technical solutions in the embodiments of the present invention. Obviously, the described embodiments are only some of the embodiments of the present invention, but not all of them. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention.

[0022] The localization and frontier method of a combination margin calculation model described in the present invention changes the adaptation rules and increases the calculation of additional risks and delivery risks during the calculation process of the combination margin model;

[0023] The adaptation rules include contract composition combination rules and layering rules; the additional risks are divided into additional special risks and additional liquidity risks, which are calculated separately and can be superimposed; the del...

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Abstract

The invention discloses a localization and frontier method for a combined margin calculation model. The method comprises the steps: changing an adaptive rule and increasing the calculation of additional risks and delivery risks in a calculation process of the combined margin model; wherein the adaptation rule comprises a contract composition combination rule and a layering rule; wherein the additional risks are divided into additional special risks and additional liquidity risks, and the additional special risks and the additional liquidity risks are respectively calculated and can be superposed; wherein the delivery risk is divided into a delivery risk and a temporary delivery month risk. According to the invention, the combined cash deposit model is well adapted to the national conditions of China, so that the combined cash deposit model can be better used in the future market, and the advancement of the combined cash deposit model is maintained.

Description

technical field [0001] The invention belongs to the technical field of combined margin models, and in particular relates to a method for localization and frontierization of combined margin calculation models. Background technique [0002] At present, domestic exchanges generally use a linear strategy combination margin model to assess position risk. Due to the nonlinear characteristics of option products, this model is difficult to accurately and effectively measure the risk of derivative products such as options. Only by charging a higher margin to maintain the risk control level, Faced with problems such as low efficiency of capital use and high pressure on customers' funds. As my country's futures market gradually deepens its opening to the outside world, the pace of introducing new futures and options products is accelerating. Both the regulators and various exchanges are actively exploring the application of combined margins in the domestic futures market. For my countr...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04G06Q10/06
CPCG06Q10/0635G06Q40/04
Inventor 龚利琴张廷利郭昭曼田思张志鸿
Owner 郑州易盛信息技术有限公司
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