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A Method for Trade Term Limit Check in Financial Risk Management

IP.com Disclosure Number: IPCOM000123570D
Original Publication Date: 1999-Jan-01
Included in the Prior Art Database: 2005-Apr-05
Document File: 1 page(s) / 46K

Publishing Venue

IBM

Related People

Kinoshita, T: AUTHOR

Abstract

Disclosed is a method for Trade Term Limit Check in Financial Risk Management. The maturity date of trade is determined on business day base. So the trade term is different from the trader's recognition. This mismatch causes the problem, when the trade term is strictly managed. The most conventional method is the comparing the maturity date with the date in the term of the limit from the begin of trade. It is calculated in the same logic with one to define the maturity date.

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A Method for Trade Term Limit Check in Financial Risk Management

   Disclosed is a method for Trade Term Limit Check in
Financial Risk Management.  The maturity date of trade is determined
on business day base.  So the trade term is different from the
trader's recognition.  This mismatch causes the problem, when the
trade term is strictly managed.  The most conventional method is the
comparing the maturity date with the date in the term of the limit
from the begin of trade.  It is calculated in the same logic with one
to define the maturity date.

   The disclosed method can reduces the cost in the
calculation and Data Base access.  And it can be implemented in the
same way with other risk exposure management, credit risk, market
risk, and so on.  This method performs the term limit check by
comparing with the supposed limit which does not exist.  The
procedure is shown as following.
  1) Selecting trade which is valuated.
     In real-time trading check, the traded one is evaluated.
     In batch mode, a like a full revaluation or a daily closing
     process, each trade is picked up in a series.
  2) Assuming the term limit
     2.1) Calculation of the assumed limit, Lv
          The term limit value, Lv is assumed as shown in the
          next equation 1.  Lv is calculated in integer as
          number of month.
          Lv = ( yyyy2 - yyyy1 ) à: 12 + ( mm2 - mm1 â) + int( (dd2 â- dd1)/30 â+ 0.5 â)
...