A-Team Insight Blogs

Cinnober Patents Real-Time Risk Assessment Solution

Swedish trading and risk management technology supplier Cinnober has been granted a US patent for a real-time risk assessment system. The invention allows clearing houses to minimise the discrepancy between the value of the collateral provided by a member as security and the highest probable loss that the portfolio may experience.

This means that for real-time risk calculations, margin requests can be issued immediately, when needed, rather than waiting until the end of the day or for a scheduled run of calculations.

The patent – Risk Assessment US 9,959,574 – was originally filed with the US Patent and Trademark Office in June 2011, and adds to Cinnober’s existing patent for Micro Auction and a pending patent application related to order matching.

The latest invention makes real-time risk assessments in a clearing system, including the calculation of margin requirements on accounts or groups of accounts affected by events, such as new trades or changes to market data. It also nets positions held in a group of accounts when calculating risk and carrying out several risk calculations using multiple risk algorithms, such as Value at Risk and SPAN, to compare the outcome.

Leave a comment

Your email address will not be published. Required fields are marked *

*

Share article

Related content

WEBINAR

Recorded Webinar: MiFID II – Practical Considerations for Gainful Compliance

This webinar has passed, but you can view the recording here. The EU’s Markets in Financial Instruments Directive (MiFID) II is set to be top of the trading technology agenda for 2016. It’s impact will be more granular, prescriptive and onerous than the original MiFID regulation, raising business and technology challenges for those financial institutions...

BLOG

FlexTrade Adopts SmartStream RDU’s SI Registry for MiFID II Compliance

By Uri Inspector, Staff Reporter FlexTrade has integrated SmartStream RDU’s Systematic Internaliser (SI) Registry into the FlexTrader execution management system (EMS) to help FlexTrade customers comply with new MiFID II reporting regulations coming into force from September 2018. The development will allow FlexTrade clients to ascertain the SI status of counterparties before they decide to...

GUIDE

MiFID II Handbook

As the 3 January 2018 compliance deadline for Markets in Financial Instruments Directive II (MiFID II) approaches, A-Team Group has pulled together everything you need to know about the regulation in a precise and concise handbook. The MiFID II Handbook, commissioned by Thomson Reuters, provides a guide to aspects of the regulation that will have...