Patent ID: 8015106

Claim:
A system for providing a financial evaluation of at least one financial instrument, the system comprising: a communications module for receiving debt market data associated with a transaction of the financial instrument between a party and a counterparty and counterparty credit quality data associated with the transaction of the financial instrument between the party and the counterparty; a processor coupled to the communications module; and a dynamic credit limit module for determining a dynamic credit limit for the counterparty based on at least one of the counterparty credit quality data and the debt market data, the dynamic credit limit defined in terms of a credit exposure versus time, wherein said dynamic credit limit module is communicatively coupled to said communications module and wherein the dynamic credit limit is defined by the following equation: D=M /( C +( N* σ)), wherein D is the dynamic credit limit of the counterparty, M is a maximum risk exposure of the party, C is the credit cost of the party, N is a multiplier, and σ is a historical standard deviation of C over a defined time interval, and wherein the processor is coupled to the dynamic credit limit module.