Package org.drip.capital.definition

Class StressScenarioType

java.lang.Object
org.drip.capital.definition.StressScenarioType
public class StressScenarioType
extends java.lang.Object
StressScenarioType contains the Stress Scenario Types - Systemic, Correlated, and Idiosyncratic. 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 java.lang.String CORRELATED
    Stress Scenario Type - CORRELATED
    static java.lang.String IDIOSYNCRATIC
    Stress Scenario Type - IDIOSYNCRATIC
    static java.lang.String SYSTEMIC
    Stress Scenario Type - SYSTEMIC

  • Constructor Summary

    Constructors
    Constructor Description
    StressScenarioType()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • CORRELATED

      public static final java.lang.String CORRELATED
      Stress Scenario Type - CORRELATED
      See Also:
      Constant Field Values

    • IDIOSYNCRATIC

      public static final java.lang.String IDIOSYNCRATIC
      Stress Scenario Type - IDIOSYNCRATIC
      See Also:
      Constant Field Values

    • SYSTEMIC

      public static final java.lang.String SYSTEMIC
      Stress Scenario Type - SYSTEMIC
      See Also:
      Constant Field Values

  • Constructor Details

    • StressScenarioType

      public StressScenarioType()