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.