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IMHO, That sounds much better than the “Sutter method” of checking a flag after each function call, which you had mentioned before.
I hope that you have considered also other languages than C++. For instance languages which push exception policies down the call chain, and languages with “catch”-clauses that perform closer inspection of the exception object before deciding to handle the exception.
To handle different cases, some runtimes perform their stack unwinding in two passes: One to find the target handler, and one to perform the actual unwinding.