Patent Document ID: 20030135450
Application ID: 10051905
Patent Flag: 0

Claim One:
1. A system for valuing and managing the risk of a plurality of credit instruments, said system comprising: a) a database for storing credit instrument data; b) a first calibration engine connected to said database, wherein said first calibration engine generates calibration parameters from said credit instrument data; c) a second pricing engine connected to said database and said first calibration engine, wherein said second pricing engine is adapted to calculate the net present values and a plurality of valuation metrics for said plurality of credit instruments by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of said plurality of credit instruments; d) a third engine connected to said second pricing engine for performing simulation-based computations; e) a fourth risk engine connected to said second pricing engine and said third engine for computing a plurality of risk and reward metrics; and f) a report generator connected to said fourth risk engine for generating reports for use in managing risk.