Systems and methods to perform credit valuation adjustment analyses

1. A credit valuation adjustment processor implemented method comprising:

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;

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; and

outputting the identified third net present value and providing the identified third net present value for display.

2. The method of claim 1 wherein at least one of said steps is implemented using a computer.

3. The method of claim 1 , wherein said identifying information associated with an existing credit position includes:

displaying an input display screen to a user, said input display screen including a section for receiving information identifying a type of said existing credit position.

4. The method of claim 3 , wherein said input display screen further includes a section for receiving information identifying terms of said existing credit position, said second section formatted based on said information identifying a type of said existing credit position.

5. The method of claim 1 , wherein said identifying information associated with a proposed credit position includes:

displaying an input display screen to a user, said input display screen including a section for receiving information identifying a type of said proposed credit position.

6. The method of claim 5 , wherein said input display screen further includes a section for receiving information identifying terms of said proposed credit position, said section formatted based on said information identifying a type of said proposed credit position.

7. The method of claim 1 , wherein said calculating said first and second net present values includes:

retrieving current market data from a market data source;

performing a monte carlo simulation to generate a series of cash flows associated with each of said existing and proposed credit positions; and

generating predictions of default probabilities associated with each of said existing and proposed credit positions.

8. The method of claim 1 , further comprising:

causing at least one of said first, second and third net present values to be displayed on a display screen operated by a user.

9. A credit valuation adjustment apparatus, comprising:

a processor;

a communications module coupled to receive information from a user device over a network; and

a storage device in communication with said processor and storing instructions adapted to be executed by said processor to:

identify information associated with an existing credit position involving a first party and counterparties;

identify information associated with a proposed credit position involving said first party and counterparties;

calculate a first net present value of expected future losses based on a default of each of said counterparties;

calculate a second net present value of expected future gains based on a default of said first party;

sum 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; and

output the identified third net present value and provide the identified third net present value for display.