1. A method executed by a computer under the control of a program, said method comprising the steps of: storing financial portfolio data in said computer, said financial portfolio data including data on a loan representing a liability for a specified entity of a financial portfolio; selecting a horizon date for said loan; designating a distribution function to characterize a probability of different market values for said specified entity at said horizon date; adjusting a horizon default point threshold at said horizon date until an area bound by said distribution function, said horizon date, and said horizon default point threshold is equal to a horizon date cumulative default rate for said specified entity, so as to characterize risk associated with said loan; and generating a report and graph characterizing risk associated with said loan.