Package org.drip.capital.allocation

Class EntityComponentCorrelationCategory

java.lang.Object
org.drip.capital.allocation.EntityComponentCorrelationCategory
public class EntityComponentCorrelationCategory
extends java.lang.Object
EntityComponentCorrelationCategory holds the Indicators of different Correlation Categories used under the BETA Capital Allocation Scheme. 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

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int ENTITY_CORRELATION
    Defer the Correlation Category to that of the Entity
    static int HEDGE
    Set the HEDGE Correlation Category
    static int HIGH_CORRELATION
    Set the HIGH Historical Revenue Correlation Category
    static int LOW_CORRELATION
    Set the LOW Historical Revenue Correlation Category
    static int MEDIUM_CORRELATION
    Set the MEDIUM Historical Revenue Correlation Category

  • Constructor Summary

    Constructors
    Constructor Description
    EntityComponentCorrelationCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • HEDGE

      public static final int HEDGE
      Set the HEDGE Correlation Category
      See Also:
      Constant Field Values

    • HIGH_CORRELATION

      public static final int HIGH_CORRELATION
      Set the HIGH Historical Revenue Correlation Category
      See Also:
      Constant Field Values

    • MEDIUM_CORRELATION

      public static final int MEDIUM_CORRELATION
      Set the MEDIUM Historical Revenue Correlation Category
      See Also:
      Constant Field Values

    • LOW_CORRELATION

      public static final int LOW_CORRELATION
      Set the LOW Historical Revenue Correlation Category
      See Also:
      Constant Field Values

    • ENTITY_CORRELATION

      public static final int ENTITY_CORRELATION
      Defer the Correlation Category to that of the Entity
      See Also:
      Constant Field Values

  • Constructor Details

    • EntityComponentCorrelationCategory

      public EntityComponentCorrelationCategory()