Package org.drip.capital.allocation

Class EntityComponentCapital

java.lang.Object

org.drip.capital.allocation.EntityComponentCapital

public class EntityComponentCapital
extends java.lang.Object

EntityComponentCapital holds the Component Capital for each Entity. 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
EntityComponentCapital(EntityCapital noStress, double noStressStandaloneMultiplier, EntityCapital systemic, double systemicStandaloneMultiplier, EntityCapital correlated, double correlatedStandaloneMultiplier, EntityCapital idiosyncratic, double idiosyncraticStandaloneMultiplier)	EntityComponentCapital Constructor

Method Summary

Modifier and Type	Method	Description
EntityCapital	correlated()	Retrieve the Entity Correlated Capital
double	correlatedStandaloneMultiplier()	Retrieve the Correlated Stand-alone Multiplier
static EntityComponentCapital	FromComponentCapital(double noStressComponentCapital, double noStressStandaloneMultiplier, double systemicComponentCapital, double systemicStandaloneMultiplier, double correlatedComponentCapital, double correlatedStandaloneMultiplier, double idiosyncraticComponentCapital, double idiosyncraticStandaloneMultiplier, double grossEntityAllocation)	Construct the Entity Component Capital Instance from the Individual Component Capital
static EntityComponentCapital	FromPnLAttribution(CorrelationCategoryBetaManager correlationCategoryBetaManager, EntityCapitalAssignmentSetting entityCapitalAssignmentSetting, PnLAttribution pnlAttribution, java.util.Map<java.lang.String,java.lang.Double> proRataNormalizerMap, double unitFloatBeta, double grossEntityAllocation)	Generate the Entity Component Capital from the PnL Attribution
EntityCapital	idiosyncratic()	Retrieve the Entity Idiosyncratic Capital
double	idiosyncraticStandaloneMultiplier()	Retrieve the Idiosyncratic Stand-alone Multiplier
EntityCapital	noStress()	Retrieve the Entity No Stress Capital
double	noStressStandaloneMultiplier()	Retrieve the No-Stress Stand-alone Multiplier
EntityCapital	systemic()	Retrieve the Entity Systemic Capital
double	systemicStandaloneMultiplier()	Retrieve the Systemic Stand-alone Multiplier
EntityCapital	total()	Retrieve the Total Entity Capital

Methods inherited from class java.lang.Object

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

Constructor Details

EntityComponentCapital

public EntityComponentCapital(EntityCapital noStress,
double noStressStandaloneMultiplier,
EntityCapital systemic,
double systemicStandaloneMultiplier,
EntityCapital correlated,
double correlatedStandaloneMultiplier,
EntityCapital idiosyncratic,
double idiosyncraticStandaloneMultiplier)
                       throws java.lang.Exception

EntityComponentCapital Constructor

Parameters:

noStress - Entity No Stress Capital

noStressStandaloneMultiplier - No-Stress Stand-alone Multiplier

systemic - Entity Systemic Capital

systemicStandaloneMultiplier - Systemic Stand-alone Multiplier

correlated - Entity cBSST Capital

correlatedStandaloneMultiplier - Correlated Stand-alone Multiplier

idiosyncratic - Entity Idiosyncratic Capital

idiosyncraticStandaloneMultiplier - Idiosyncratic Stand-alone Multiplier

Throws:

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

Method Details

FromComponentCapital

public static final EntityComponentCapital FromComponentCapital(double noStressComponentCapital,
double noStressStandaloneMultiplier,
double systemicComponentCapital,
double systemicStandaloneMultiplier,
double correlatedComponentCapital,
double correlatedStandaloneMultiplier,
double idiosyncraticComponentCapital,
double idiosyncraticStandaloneMultiplier,
double grossEntityAllocation)

Construct the Entity Component Capital Instance from the Individual Component Capital

Parameters:

noStressComponentCapital - No Stress Capital Component

noStressStandaloneMultiplier - No-Stress Stand-alone Multiplier

systemicComponentCapital - Systemic Capital Component

systemicStandaloneMultiplier - Systemic Stand-alone Multiplier

correlatedComponentCapital - Correlated Capital Component

correlatedStandaloneMultiplier - Correlated Stand-alone Multiplier

idiosyncraticComponentCapital - Idiosyncratic Capital Component

idiosyncraticStandaloneMultiplier - Idiosyncratic Stand-alone Multiplier

grossEntityAllocation - Entity Gross Capital Allocation

Returns:

The Entity Component Capital Instance from the Individual Component Capital

FromPnLAttribution

public static final EntityComponentCapital FromPnLAttribution(CorrelationCategoryBetaManager correlationCategoryBetaManager,
EntityCapitalAssignmentSetting entityCapitalAssignmentSetting,
PnLAttribution pnlAttribution,
java.util.Map<java.lang.String,java.lang.Double> proRataNormalizerMap,
double unitFloatBeta,
double grossEntityAllocation)

Generate the Entity Component Capital from the PnL Attribution

Parameters:

correlationCategoryBetaManager - The Correlation Category Beta Manager

entityCapitalAssignmentSetting - The Entity Capital Component Setting

pnlAttribution - The PnL Attribution

proRataNormalizerMap - The Pro-Rata Normalizer Map

unitFloatBeta - Unit Float Beta

grossEntityAllocation - Entity Gross Allocated Capital

Returns:

The Entity Component Capital Instance from the PnL Attribution

noStress

public EntityCapital noStress()

Retrieve the Entity No Stress Capital

Returns:

The Entity No Stress Capital

systemic

public EntityCapital systemic()

Retrieve the Entity Systemic Capital

Returns:

The Entity Systemic Capital

systemicStandaloneMultiplier

public double systemicStandaloneMultiplier()

Retrieve the Systemic Stand-alone Multiplier

Returns:

The Systemic Stand-alone Multiplier

correlatedStandaloneMultiplier

public double correlatedStandaloneMultiplier()

Retrieve the Correlated Stand-alone Multiplier

Returns:

The Correlated Stand-alone Multiplier

idiosyncraticStandaloneMultiplier

public double idiosyncraticStandaloneMultiplier()

Retrieve the Idiosyncratic Stand-alone Multiplier

Returns:

The Idiosyncratic Stand-alone Multiplier

noStressStandaloneMultiplier

public double noStressStandaloneMultiplier()

Retrieve the No-Stress Stand-alone Multiplier

Returns:

The No-Stress Stand-alone Multiplier

correlated

public EntityCapital correlated()

Retrieve the Entity Correlated Capital

Returns:

The Entity Correlated Capital

idiosyncratic

public EntityCapital idiosyncratic()

Retrieve the Entity Idiosyncratic Capital

Returns:

The Entity Idiosyncratic Capital

total

public EntityCapital total()

Retrieve the Total Entity Capital

Returns:

The Total Entity Capital