Package org.drip.capital.explain

Class CapitalSegmentStandaloneMarginal

java.lang.Object

org.drip.capital.explain.PnLAttribution

org.drip.capital.explain.CapitalUnitPnLAttribution

org.drip.capital.explain.CapitalSegmentStandaloneMarginal

All Implemented Interfaces:

EnsemblePnLDistributionGenerator

public class CapitalSegmentStandaloneMarginal
extends CapitalUnitPnLAttribution

CapitalSegmentStandaloneMarginal holds the Top-of-the-House Capital Attributions as well the Segment-Level Contributions from the Stand-alone Capital Units. 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

• Module = Portfolio Core Module
• Library = Capital Analytics
• Project = Basel Market Risk and Operational Capital
• Package = Economic Risk Capital Attribution Explain

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalSegmentStandaloneMarginal(java.util.List<PathPnLRealization> pathPnLRealizationList, java.util.Map<java.lang.String,PnLAttribution> marginalPnLAttributionMap, java.util.Map<java.lang.String,PnLAttribution> standalonePnLAttributionMap)	CapitalSegmentStandaloneMarginal Constructor

Method Summary

Modifier and Type	Method	Description
EntityComponentCapitalAssignment	betaAllocation(CapitalAllocationControl capitalAllocationControl)	Compute the Expected Short-fall Based Beta Allocation Map
java.util.Map<java.lang.String,PnLAttribution>	marginalPnLAttributionMap()	Retrieve the Capital Unit Marginal PnL Attribution Map
java.util.Map<java.lang.String,PnLAttribution>	standalonePnLAttributionMap()	Retrieve the Capital Unit Stand-alone PnL Attribution Map

Methods inherited from class org.drip.capital.explain.CapitalUnitPnLAttribution

ensembleDistribution, grossFSPnLList, grossIdiosyncraticStressPnLList, grossPnLList, grossSystemicStressPnLList, pathCount, pathIndexList, pathPnLRealizationList

Methods inherited from class org.drip.capital.explain.PnLAttribution

correlatedInstanceCountMap, correlatedPnL, correlatedPnLExplainMap, correlatedPnLWorstMap, expectedShortfall, fsGrossPnL, fsPnLDecompositionExplainMap, idiosyncraticGrossPnL, idiosyncraticInstanceCountMap, idiosyncraticPnLExplainMap, idiosyncraticPnLWorstMap, paaCategoryDecompositionExplainMap, systemicGrossPnL, systemicGrossPnLExplainMap, systemicInstanceCountMap, systemicPnL, systemicPnLExplainMap, var

Methods inherited from class java.lang.Object

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

Constructor Details

CapitalSegmentStandaloneMarginal

public CapitalSegmentStandaloneMarginal(java.util.List<PathPnLRealization> pathPnLRealizationList,
java.util.Map<java.lang.String,PnLAttribution> marginalPnLAttributionMap,
java.util.Map<java.lang.String,PnLAttribution> standalonePnLAttributionMap)
                                 throws java.lang.Exception

CapitalSegmentStandaloneMarginal Constructor

Parameters:

pathPnLRealizationList - Segment Level Merged Path PnL Realization List

marginalPnLAttributionMap - Capital Unit Marginal PnL Attribution Map

standalonePnLAttributionMap - Capital Unit Marginal PnL Attribution Map

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

marginalPnLAttributionMap

public java.util.Map<java.lang.String,PnLAttribution> marginalPnLAttributionMap()

Retrieve the Capital Unit Marginal PnL Attribution Map

Returns:

The Capital Unit Marginal PnL Attribution Map

standalonePnLAttributionMap

public java.util.Map<java.lang.String,PnLAttribution> standalonePnLAttributionMap()

Retrieve the Capital Unit Stand-alone PnL Attribution Map

Returns:

The Capital Unit Stand-alone PnL Attribution Map

betaAllocation

public EntityComponentCapitalAssignment betaAllocation(CapitalAllocationControl capitalAllocationControl)

Compute the Expected Short-fall Based Beta Allocation Map

Parameters:

capitalAllocationControl - Capital Allocation Setting Control

Returns:

The Expected Short-fall Based Beta Allocation Map