Package org.drip.capital.allocation

Class EntityComponentAssignmentScheme

java.lang.Object

org.drip.capital.allocation.EntityComponentAssignmentScheme

public class EntityComponentAssignmentScheme
extends java.lang.Object

EntityComponentAssignmentScheme holds the Indicators for the BETA and the PRO RATA Capital Allocation Schemes. 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

Field Summary

Fields

Modifier and Type	Field	Description
static int	BETA	BETA Allocation Scheme
static int	PRO_RATA	PRO-RATA Allocation Scheme

Constructor Summary

Constructors

Constructor	Description
EntityComponentAssignmentScheme()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

BETA

public static final int BETA

BETA Allocation Scheme

See Also:

Constant Field Values

PRO_RATA

public static final int PRO_RATA

PRO-RATA Allocation Scheme

See Also:

Constant Field Values

Constructor Details

EntityComponentAssignmentScheme

public EntityComponentAssignmentScheme()