Patent ID: 7571138

Claim:
A method comprising: creating and storing in a memory a hierarchical model of legally associated counterparties and associated transactions with an organization, wherein the hierarchical model includes one or more levels containing a plurality of nodes, wherein the plurality of nodes comprises the legally associated counterparties, transactions and master agreements between the legally associated counterparties and the organization; calculating financial exposure for the organization at each node of the hierarchical model; creating credit limit categories, wherein each credit limit category comprises one or more nodes of the plurality of nodes having a common characteristic; calculating a credit limit for a credit limit category based on credit limits set for the one or more nodes comprising the credit limit category; calculating transactional financial exposure at each leaf node resulting from each of the one or more transactions; calculating master-level financial exposure at each node of the one or more master levels of the hierarchical model, wherein master-level financial exposure at a given master-level node is calculated as a function of the financial exposure of nodes at a lower level of the hierarchical model linked to the given master-level node; calculating counterparty-level financial exposure at each node of the one or more counterparty levels of the hierarchical model, wherein counterparty-level financial exposure at a given counterparty-level node is calculated as a function of the financial exposure of nodes at a lower level of the hierarchical model linked to the given counterparty-level node; and generating an aggregate financial exposure for the organization based on an aggregation of the counterparty-level financial exposure.