Patent Document ID: 6122623
Application ID: 09109110
Patent Flag: 1

Claim One:
1. A computer implemented method of determining a value-at-risk measure for each of a selected set of transactions, the computer implemented method comprising: converting the transactions into a set of cashflows; storing a set of vertices, each vertex including an edge value for each of a plurality of edges, each edge having a unit type, wherein selected ones of the vertices form a canonical vertex set; receiving a set of N watershed variable values for at least one of the plurality of edges; converting the N watershed variable values to a same unit type as the edge; partitioning the values of the edge into N+1 partitioned edge value sets according to the N watershed variable values; partitioning the vertices of the canonical vertex set according to the N+1 partitioned edge value sets to produce N+1 partitioned vertex sets, each partitioned vertex set including at least one vertex; partitioning the set of cashflows according to the N+1 partitioned edge value sets, to produce N+1 partitioned cashflow sets, each of the N+1 partitioned cashflow sets including at least one cashflow; for each j.sup.th (j=1. .. N+1) partitioned cashflow set, allocating the cashflows within the j.sup.th partitioned cashflow set onto only the vertices in a corresponding j.sup.th partitioned vertex set; and for each partitioned vertex set, determining a value at risk for the cashflows allocated unto the vertices in the partitioned vertex set.