A system and method for using asymmetrical offsets for products in a risk
management analysis system are disclosed. Conventional systems assign
symmetrical offsets for products, that is, if two products have an 80%
correlation they each would be assigned an offset of 80% with respect to
each other. However, it is desirable to allow for asymmetrical offsets.
In the disclosed system and method, when two products have a correlation
of 80%, one may be assigned an offset of 75% and the other may be
assigned an offset of 80%. There are many reasons to vary the offset
between the products. The varying offset may reflect an asymmetry in the
risk in one of the products, such as being traded in an illiquid market
or in a less desirable venue. The varying offset may correct for an
imbalance in spread credits due to special charges from intra spreading.