摘要 |
Pursuant to some embodiments, a method includes: identifying information associated with an existing credit position involving a first party and counterparties; identifying information associated with a proposed credit position involving said first party and counterparties; calculating a first net present value of expected future losses based on a default of each of said counterparties; calculating a second net present value of expected future gains based on a default of said first party; and summing said first and second net present values to identify a third net present value of an expected future credit loss and gain of an overall credit position including both said existing credit position and said proposed credit position.
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