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.