ALEXANDRIA, Va., Sept. 3 -- United States Patent no. 12,406,308, issued on Sept. 2, was assigned to Chicago Mercantile Exchange Inc. (Chicago).
"PCA-based portfolio margining" was invented by Udesh Jha (Chicago), Jalpan Shah (Chicago), Dmitriy Glinberg (Northbrook, Ill.), Edmund Li (Chicago) and Feliks Landa (Glenview, Ill.).
According to the abstract* released by the U.S. Patent & Trademark Office: "A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with...