Package org.drip.capital.allocation

Class EntityComponentProRataCategory

java.lang.Object
org.drip.capital.allocation.EntityComponentProRataCategory
public class EntityComponentProRataCategory
extends java.lang.Object
EntityComponentProRataCategory holds the Indicators of different Pro-Rata Categories used under the PRO-RATA 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 MARGINAL
    Set the MARGINAL PRO-RATA Category
    static int STANDALONE
    Set the STANDALONE PRO-RATA Category
    static int STANDALONE_TO_WORST
    Set the STANDALONE TO WORST PRO-RATA Category

  • Constructor Summary

    Constructors
    Constructor Description
    EntityComponentProRataCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • MARGINAL

      public static final int MARGINAL
      Set the MARGINAL PRO-RATA Category
      See Also:
      Constant Field Values

    • STANDALONE

      public static final int STANDALONE
      Set the STANDALONE PRO-RATA Category
      See Also:
      Constant Field Values

    • STANDALONE_TO_WORST

      public static final int STANDALONE_TO_WORST
      Set the STANDALONE TO WORST PRO-RATA Category
      See Also:
      Constant Field Values

  • Constructor Details

    • EntityComponentProRataCategory

      public EntityComponentProRataCategory()