Package org.drip.capital.env

Class CapitalUnitStressEventFactory

java.lang.Object
org.drip.capital.env.CapitalUnitStressEventFactory
public class CapitalUnitStressEventFactory
extends java.lang.Object
CapitalUnitStressEventFactory instantiates the Built-in Systemic, Idiosyncratic, and Correlated Events at the Capital Unit Coordinate Level. 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 Summary

    Constructors
    Constructor Description
    CapitalUnitStressEventFactory()  

  • Method Summary

    Modifier and Type Method Description
    static CapitalUnitStressEventContext Instantiate()
    Instantiate the Built-in CapitalUnitStressEventContext

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CapitalUnitStressEventFactory

      public CapitalUnitStressEventFactory()

  • Method Details

    • Instantiate

      public static CapitalUnitStressEventContext Instantiate()
      Instantiate the Built-in CapitalUnitStressEventContext
      Returns:
      TRUE - The CapitalUnitStressEventContext Instance