Package org.drip.capital.allocation

Class EntityCapitalAssignmentSetting

java.lang.Object

org.drip.capital.allocation.EntityCapitalAssignmentSetting

public class EntityCapitalAssignmentSetting
extends java.lang.Object

EntityCapitalAssignmentSetting holds the Correlation Elasticities for the different Capital Components as well as the Entity's Correlation Category. The References are:

• Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey Results and Practice https://www.bis.org/publ/cgfs24.htm
• Glasserman, P. (2004): Monte Carlo Methods in Financial Engineering Springer
• Kupiec, P. H. (2000): Stress Tests and Risk Capital Risk 2 (4) 27-39

• Module = Portfolio Core Module
• Library = Capital Analytics
• Project = Basel Market Risk and Operational Capital
• Package = Economic Risk Capital Entity Allocation

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
EntityCapitalAssignmentSetting(int allocationCorrelationCategory, int noStressAllocationCategory, int noStressAllocationScheme, int systemicAllocationCategory, int gsstAllocationScheme, int correlatedAllocationCategory, int correlatedAllocationScheme, int idiosyncraticAllocationCategory, int idiosyncraticAllocationScheme)	EntityCapitalAssignmentSetting Constructor

Method Summary

Modifier and Type	Method	Description
int	allocationCorrelationCategory()	Retrieve the Allocation Correlation Category of the Capital Entity
int	correlatedAllocationCategory()	Retrieve the Allocation Category for the Correlated Capital Component
int	correlatedAllocationScheme()	Retrieve the Allocation Scheme for the Correlated Capital Component
int	idiosyncraticAllocationCategory()	Retrieve the Allocation Category for the Idiosyncratic Capital Component
int	idiosyncraticAllocationScheme()	Retrieve the Allocation Scheme for the Idiosyncratic Capital Component
int	noStressAllocationCategory()	Retrieve the Allocation Category for the "No-Stress" Capital Component
int	noStressAllocationScheme()	Retrieve the Allocation Scheme for the "No-Stress" Capital Component
int	systemicAllocationCategory()	Retrieve the Systemic Allocation Category of the Capital Entity
int	systemicAllocationScheme()	Retrieve the Allocation Scheme for the Systemic Capital Component
static EntityCapitalAssignmentSetting	UniformBeta(int allocationCorrelationCategory, int noStressAllocationCategory, int systemicAllocationCategory, int correlatedAllocationCategory, int idiosyncraticAllocationCategory)	Construct the Uniform Beta Instance of EntityCapitalAssignmentSetting
static EntityCapitalAssignmentSetting	UniformBetaIdiosyncraticProRata(int allocationCorrelationCategory, int noStressAllocationCategory, int systemicAllocationCategory, int correlatedAllocationCategory, int idiosyncraticAllocationCategory)	Construct the Idiosyncratic Pro-Rata + Others Beta Instance of EntityCapitalAssignmentSetting

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

EntityCapitalAssignmentSetting

public EntityCapitalAssignmentSetting(int allocationCorrelationCategory,
int noStressAllocationCategory,
int noStressAllocationScheme,
int systemicAllocationCategory,
int gsstAllocationScheme,
int correlatedAllocationCategory,
int correlatedAllocationScheme,
int idiosyncraticAllocationCategory,
int idiosyncraticAllocationScheme)
                               throws java.lang.Exception

EntityCapitalAssignmentSetting Constructor

Parameters:

allocationCorrelationCategory - Allocation Correlation Category of the Capital Entity

noStressAllocationCategory - Allocation Category for the "No-Stress" Capital Component

noStressAllocationScheme - Allocation Scheme for the "No-Stress" Capital Component

systemicAllocationCategory - Allocation Category for the Systemic Capital Component

gsstAllocationScheme - Allocation Scheme for the Systemic Capital Component

correlatedAllocationCategory - Allocation Category for the Correlated Capital Component

correlatedAllocationScheme - Allocation Scheme for the Correlated Capital Component

idiosyncraticAllocationCategory - Allocation Category for the Idiosyncratic Capital Component

idiosyncraticAllocationScheme - Allocation Scheme for the Idiosyncratic Capital Component

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

UniformBeta

public static final EntityCapitalAssignmentSetting UniformBeta(int allocationCorrelationCategory,
int noStressAllocationCategory,
int systemicAllocationCategory,
int correlatedAllocationCategory,
int idiosyncraticAllocationCategory)

Construct the Uniform Beta Instance of EntityCapitalAssignmentSetting

Parameters:

allocationCorrelationCategory - Allocation Correlation Category of the Capital Entity

noStressAllocationCategory - Allocation Category for the "No-Stress" Capital Component

systemicAllocationCategory - Allocation Category for the Systemic Capital Component

correlatedAllocationCategory - Allocation Category for the Correlated Capital Component

idiosyncraticAllocationCategory - Allocation Category for the Idiosyncratic Capital Component

Returns:

Uniform Beta Instance of EntityCapitalAssignmentSetting

UniformBetaIdiosyncraticProRata

public static final EntityCapitalAssignmentSetting UniformBetaIdiosyncraticProRata(int allocationCorrelationCategory,
int noStressAllocationCategory,
int systemicAllocationCategory,
int correlatedAllocationCategory,
int idiosyncraticAllocationCategory)

Construct the Idiosyncratic Pro-Rata + Others Beta Instance of EntityCapitalAssignmentSetting

Parameters:

allocationCorrelationCategory - Allocation Correlation Category of the Capital Entity

noStressAllocationCategory - Allocation Category for the "No-Stress" Capital Component

systemicAllocationCategory - Allocation Category for the Systemic Capital Component

correlatedAllocationCategory - Allocation Category for the Correlated Capital Component

idiosyncraticAllocationCategory - Allocation Category for the Idiosyncratic Capital Component

Returns:

Idiosyncratic Pro-Rata + Others Beta Instance of EntityCapitalAssignmentSetting

allocationCorrelationCategory

public int allocationCorrelationCategory()

Retrieve the Allocation Correlation Category of the Capital Entity

Returns:

TRUE - The Allocation Correlation Category of the Capital Entity

noStressAllocationCategory

public int noStressAllocationCategory()

Retrieve the Allocation Category for the "No-Stress" Capital Component

Returns:

The Allocation Category for the "No-Stress" Capital Component

noStressAllocationScheme

public int noStressAllocationScheme()

Retrieve the Allocation Scheme for the "No-Stress" Capital Component

Returns:

The Elasticity for the "No-Stress" Capital Component

systemicAllocationCategory

public int systemicAllocationCategory()

Retrieve the Systemic Allocation Category of the Capital Entity

Returns:

TRUE - The Systemic Allocation Category of the Capital Entity

systemicAllocationScheme

public int systemicAllocationScheme()

Retrieve the Allocation Scheme for the Systemic Capital Component

Returns:

The Allocation Scheme for the Systemic Capital Component

correlatedAllocationCategory

public int correlatedAllocationCategory()

Retrieve the Allocation Category for the Correlated Capital Component

Returns:

The Allocation Category for the Correlated Capital Component

correlatedAllocationScheme

public int correlatedAllocationScheme()

Retrieve the Allocation Scheme for the Correlated Capital Component

Returns:

The Allocation Scheme for the Correlated Capital Component

idiosyncraticAllocationCategory

public int idiosyncraticAllocationCategory()

Retrieve the Allocation Category for the Idiosyncratic Capital Component

Returns:

The Allocation Category for the Idiosyncratic Capital Component

idiosyncraticAllocationScheme

public int idiosyncraticAllocationScheme()

Retrieve the Allocation Scheme for the Idiosyncratic Capital Component

Returns:

The Allocation Scheme for the Idiosyncratic Capital Component