Method, system and program for credit risk management utilizing credit limits
First Claim
1. 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.
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0 Petitions
Accused Products
Abstract
Software aggregates and integrates credit exposure and credit data across accounting, trading and operational systems within an organization and generates views of available credit in light of the exposure and credit limits. A comprehensive model of exposure to all counterparties, across all of their divisions and subsidiaries, is assembled, enabling the creation of a hierarchical view of each counterparty that models its real-world parent-child relationships. Credit limits are set across the enterprise, supporting the organization'"'"'s unique methodology and business process, and on a granular basis, incorporating factors such as external credit ratings, internal credit scores, commodity, geographic region, deal duration, and security instruments. Credit, transactions, and risk are then determined at any level in the hierarchy. After aggregating exposure and credit limit information, the system presents a comprehensive, detailed, real-time, enterprise-wide view of current exposure, collateral requirements and available credit for both a company and its counterparties, making it easy for users to identify trouble spots by counterparty, geography, industry, and credit rating and to manage the company'"'"'s liquidity.
119 Citations
27 Claims
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1. A method comprising:
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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. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. An article of manufacture comprising machine-readable medium including program logic embedded therein that causes control circuitry in a data processing system to perform the steps of:
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creating 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; and 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. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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19. A system comprising:
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means for creating 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; and means for calculating financial exposure for the organization at each node of the hierarchical model; means for creating credit limit categories, wherein each credit limit category comprises one or more nodes of the plurality of nodes having a common characteristic; means for 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; means for calculating transactional financial exposure at each leaf node resulting from each of the one or more transactions; means for 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; means for 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 means for generating an aggregate financial exposure for the organization based on an aggregation of the counterparty-level financial exposure. - View Dependent Claims (20, 21, 22, 23, 24, 25, 26, 27)
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Specification