Package org.drip.capital.allocation

Class EntityComponentCapitalAssignment

java.lang.Object
org.drip.capital.allocation.EntityComponentCapitalAssignment
public class EntityComponentCapitalAssignment
extends java.lang.Object
EntityComponentCapitalAssignment contains the Capital Assignment for each Entity and its Component. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • EntityComponentCapitalAssignment

      public EntityComponentCapitalAssignment​(EntityElasticityAttribution elasticityAttribution, java.util.Map<java.lang.String,​EntityComponentCapital> entityComponentCapitalMap, double unitFloatBeta, double allocatedBetaCapital, double allocatedProRataCapital) throws java.lang.Exception
      EntityComponentCapitalAssignment Constructor
      Parameters:
      elasticityAttribution - Entity Elasticity Attribution
      entityComponentCapitalMap - Entity Component Capital Assignment Map
      unitFloatBeta - Unit Float Beta
      allocatedBetaCapital - Allocated Beta Capital
      allocatedProRataCapital - Allocated Pro-Rata Capital
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

  • Method Details

    • elasticityAttribution

      public EntityElasticityAttribution elasticityAttribution()
      Retrieve the Entity Elasticity Attribution
      Returns:
      The Entity Elasticity Attribution

    • entityComponentCapitalMap

      public java.util.Map<java.lang.String,​EntityComponentCapital> entityComponentCapitalMap()
      Retrieve the Entity Component Capital Assignment Map
      Returns:
      The Entity Component Capital Assignment Map

    • unitFloatBeta

      public double unitFloatBeta()
      Retrieve the Unit Float Beta
      Returns:
      The Unit Float Beta

    • allocatedBetaCapital

      public double allocatedBetaCapital()
      Retrieve the Allocated Beta Capital
      Returns:
      The Allocated Beta Capital

    • allocatedProRataCapital

      public double allocatedProRataCapital()
      Retrieve the Allocated Pro-Rata Capital
      Returns:
      The Allocated Pro-Rata Capital

    • allocatedTotalCapital

      public double allocatedTotalCapital()
      Retrieve the Allocated Total Capital
      Returns:
      The Allocated Total Capital

    • systemic

      public EntityCapital systemic()
      Retrieve the Total Systemic Entity Capital
      Returns:
      Total Systemic Entity Capital

    • correlated

      public EntityCapital correlated()
      Retrieve the Total Correlated Entity Capital
      Returns:
      Total Correlated Entity Capital

    • idiosyncratic

      public EntityCapital idiosyncratic()
      Retrieve the Total Idiosyncratic Entity Capital
      Returns:
      Total Idiosyncratic Entity Capital

    • noStress

      public EntityCapital noStress()
      Retrieve the Total No Stress Entity Capital
      Returns:
      Total No Stress Entity Capital

    • fixed

      public EntityCapital fixed()
      Retrieve the Total Fixed Elasticity Capital
      Returns:
      Total Fixed Elasticity Capital

    • floating

      public EntityCapital floating()
      Retrieve the Total Floating Elasticity Capital
      Returns:
      Total Floating Elasticity Capital