AGGREGATION ENGINE FOR REAL-TIME COUNTERPARTY CREDIT RISK SCORING

摘要

Techniques are disclosed for computing a real-time credit risk score. In one example, the method comprises at least one processor generating a computation graph comprising static computation nodes, dynamic computation nodes, and computation edges. The computation graph is a tree. Before receiving the real-time trade, the processor determines a pipeline kernel in the computation graph and computes the respective static information in the pipeline kernel. After computing the static information, the processor receives the real-time trade. The real-time trade is associated with a current exchange of assets for which a real-time credit risk score may be determined and comprises real-time information for use in computing the real-time credit risk score. The processor computes, based on the real-time trade and the computed static information, the dynamic information in the pipeline kernel and computes, based on the computed dynamic information, the real-time credit risk score.