Patent ID: 7885883

Claim:
A method for capturing risk calculation results for a plurality of derivative instruments of an investment portfolio, the method comprising: storing data identifying the plurality of derivative instruments in a products table in a database; storing data in a risk factor table of the database that identifies a plurality of risk measures for the plurality of derivative instruments; generating for each of the plurality of derivative instruments one or more rows in a calculated values table in the database wherein generating the one or more rows of the calculated values table comprises for each of the one or more rows: receiving and storing, in a first field of the row of the calculated values table, a product identifier that identifies one of the plurality of derivative instruments that is linked to the products table; receiving and storing, in a second field of the row of the calculated values table, a risk measure identifier that identifies one of the plurality of risk measures that is linked to the risk factor table, wherein the risk measure identifier in the second field is the only risk measure identifier in the row; receiving and storing a market factor identifier in a third field of the row of the calculated values table; receiving and storing, in a fourth field of the row of the calculated value table, a risk measure value for the risk measure identified in the second field of the row, wherein the market factor identifier of the third field identifies a market factor perturbed to compute the risk measure value in the fourth field, wherein the risk measure value in the fourth field is the only risk measure value in the row, and wherein, for each of the plurality of derivative instruments, the one or more rows in the calculated values table have a unique combination of risk measure identifier in the second field and market factor identifier in the third field, such that for each derivative instrument, no two rows in the calculated values table have the same combination of risk measure identifier in the second field and market factor identifier in the third field; generating aggregate risk information, by a computer device that is in communication with the database, by aggregating two or more risk measure values in the calculated values table across two or more of the plurality of derivative instruments; and outputting by the computer device the aggregate risk information.