Package org.drip.capital.definition

Class SystemicScenarioDefinition

java.lang.Object
org.drip.capital.definition.SystemicScenarioDefinition
public class SystemicScenarioDefinition
extends java.lang.Object
SystemicScenarioDefinition holds the various SYSTEMIC Definitions. 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 BASELINE_1974
    1974 Baseline SYSTEMIC Scenario
    static java.lang.String BASELINE_2008
    2008 Baseline SYSTEMIC Scenario
    static java.lang.String DEEP_DOWNTURN
    Deep Down-turn SYSTEMIC Scenario
    static java.lang.String DOLLAR_DECLINE
    Dollar Decline SYSTEMIC Scenario
    static java.lang.String INTEREST_RATE_SHOCK
    Interest-Rate Shock SYSTEMIC Scenario
    static java.lang.String LOST_DECADE
    Lost Decade SYSTEMIC Scenario

  • Constructor Summary

    Constructors
    Constructor Description
    SystemicScenarioDefinition()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • BASELINE_2008

      public static final java.lang.String BASELINE_2008
      2008 Baseline SYSTEMIC Scenario
      See Also:
      Constant Field Values

    • BASELINE_1974

      public static final java.lang.String BASELINE_1974
      1974 Baseline SYSTEMIC Scenario
      See Also:
      Constant Field Values

    • DEEP_DOWNTURN

      public static final java.lang.String DEEP_DOWNTURN
      Deep Down-turn SYSTEMIC Scenario
      See Also:
      Constant Field Values

    • DOLLAR_DECLINE

      public static final java.lang.String DOLLAR_DECLINE
      Dollar Decline SYSTEMIC Scenario
      See Also:
      Constant Field Values

    • INTEREST_RATE_SHOCK

      public static final java.lang.String INTEREST_RATE_SHOCK
      Interest-Rate Shock SYSTEMIC Scenario
      See Also:
      Constant Field Values

    • LOST_DECADE

      public static final java.lang.String LOST_DECADE
      Lost Decade SYSTEMIC Scenario
      See Also:
      Constant Field Values

  • Constructor Details

    • SystemicScenarioDefinition

      public SystemicScenarioDefinition()