Patent ID: 7620581

Claim:
A method implemented on a computer system for evaluating the credit exposure of a portfolio of one or more financial instruments, the method comprising: establishing a deal object for each financial instrument by the computer system, the deal object comprising a representation of said financial instrument and a valuation function for representing how the value of the financial instrument is related to underlying market variables; establishing one or more risk factor models by the computer system, each risk factor model representing an underlying financial market variable which may affect the value of one or more of said financial instruments; establishing a deal parabolic function for representing each deal object valuation function by the computer system, by operation of each deal object valuation function on each risk factor model to which it is sensitive; and summing the coefficients of each said deal parabolic function established at a same instant from the one or more deal objects represented in the portfolio in order to build a portfolio parabolic function which approximates the overall portfolio value for that instant; wherein establishing each said deal parabolic function involves evaluating a plurality of coordinates calculated from said deal object valuation function and then applying a parabolic curve, surface or multi-dimensional surface to fit said coordinates, the parabolic curve or surface then representing that deal object valuation function.