Aggregation engine for real-time counterparty credit risk scoring

A computing device for computing a real-time credit risk score, the computing device comprising:

• at least one processor;
• and
• one or more modules operable by the at least one processor to:
• generate a computation graph comprising one or more static computation nodes, one or more dynamic computation nodes, and one or more computation edges, wherein the computation graph is a tree comprising the one or more static computation nodes and the one or more dynamic computation nodes interconnected by the one or more computation edges, wherein the one or more static computation nodes of the computation graph each contain static information, and wherein the one or more dynamic computation nodes of the computation graph each comprise dynamic information;
• determine, before receiving a real-time trade, a pipeline kernel in the computation graph, wherein the pipeline kernel comprises at least one of the one or more static computation nodes, at least one of the one or more dynamic computation nodes, and a path originating from one of the one or more static computation nodes or one of the one or more dynamic computation nodes along at least one of the one or more computation edges;
• compute, before receiving a real-time trade, the respective static information contained in each of the one or more static nodes of the pipeline kernel;
• after the respective static information contained in each of the one or more static nodes of the pipeline kernel is computed, receive, the real-time trade, wherein the real-time trade is associated with a current exchange of assets for which a real-time credit risk score may be determined, and wherein the real-time trade comprises real-time information;
• compute, based at least in part on the real-time information in the real-time trade and the respective computed static information contained in each of the one or more static computation nodes of the pipeline kernel, the respective dynamic information contained in each of the one or more dynamic computation nodes of the pipeline kernel;
• and
• compute, based at least in part on the respective computed dynamic information contained in each of the one or more dynamic computation nodes, the real-time credit risk score.

A computer-readable storage medium comprising instructions for causing at least one processor to:

• generate a computation graph comprising one or more static computation nodes, one or more dynamic computation nodes, and one or more computation edges, wherein the computation graph is a tree comprising the one or more static computation nodes and the one or more dynamic computation nodes interconnected by the one or more computation edges, wherein the one or more static computation nodes of the computation graph each contain static information, and wherein the one or more dynamic computation nodes of the computation graph each comprise dynamic information;
• determine, before receiving a real-time trade, a pipeline kernel in the computation graph, wherein the pipeline kernel comprises at least one of the one or more static computation nodes, at least one of the one or more dynamic computation nodes, and a path originating from one of the one or more static computation nodes or one of the one or more dynamic computation nodes along at least one of the one or more computation edges;
• compute, before receiving a real-time trade, the respective static information contained in each of the one or more static nodes of the pipeline kernel;
• after the respective static information contained in each of the one or more static nodes of the pipeline kernel is computed, receive, the real-time trade, wherein the real-time trade is associated with a current exchange of assets for which a real-time credit risk score may be determined, and wherein the real-time trade comprises real-time information;
• compute, based at least in part on the real-time information in the real-time trade and the respective computed static information contained in each of the one or more static computation nodes of the pipeline kernel, the respective dynamic information contained in each of the one or more dynamic computation nodes of the pipeline kernel;
• and
• compute, based at least in part on the respective computed dynamic information contained in each of the one or more dynamic computation nodes, the real-time credit risk score.