Package org.drip.capital.feed

Class CapitalUnitStressScenarioLoader

java.lang.Object
org.drip.capital.feed.CapitalUnitStressScenarioLoader
public class CapitalUnitStressScenarioLoader
extends java.lang.Object
CapitalUnitStressScenarioLoader loads the Stress Scenario Specifications of a Capital Unit. 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
    CapitalUnitStressScenarioLoader()  

  • Method Summary

    Modifier and Type Method Description
    static java.util.Map<java.lang.String,​CapitalUnitCorrelatedScenario> LoadCorrelated​(java.lang.String capitalUnitCorrelatedInputFile, boolean skipHeader)
    Load the Capital Unit Correlated Stress Scenarios
    static java.util.Map<java.lang.String,​CapitalUnitIdiosyncraticScenario> LoadIdiosyncratic​(java.lang.String capitalUnitIdiosyncraticInputFile, boolean skipHeader)
    Load the Capital Unit Idiosyncratic Stress Scenarios
    static CapitalUnitStressEventContext LoadStressScenario​(java.lang.String capitalUnitCorrelatedInputFile, java.lang.String capitalUnitIdiosyncraticInputFile, java.lang.String capitalUnitSystemicInputFile, boolean skipHeader)
    Load the Capital Unit Stress Scenarios
    static java.util.Map<java.lang.String,​SystemicScenarioPnLSeriesPAA> LoadSystemic​(java.lang.String capitalUnitSystemicInputFile, boolean skipHeader)
    Load the Capital Unit Systemic Stress Scenarios

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CapitalUnitStressScenarioLoader

      public CapitalUnitStressScenarioLoader()

  • Method Details

    • LoadCorrelated

      public static final java.util.Map<java.lang.String,​CapitalUnitCorrelatedScenario> LoadCorrelated​(java.lang.String capitalUnitCorrelatedInputFile, boolean skipHeader)
      Load the Capital Unit Correlated Stress Scenarios
      Parameters:
      capitalUnitCorrelatedInputFile - Capital Unit Correlated Stress Scenario Specifications File
      skipHeader - TRUE - Interpret the First Row as a Header
      Returns:
      The Map of Capital Unit Correlated Stress Scenarios

    • LoadIdiosyncratic

      public static final java.util.Map<java.lang.String,​CapitalUnitIdiosyncraticScenario> LoadIdiosyncratic​(java.lang.String capitalUnitIdiosyncraticInputFile, boolean skipHeader)
      Load the Capital Unit Idiosyncratic Stress Scenarios
      Parameters:
      capitalUnitIdiosyncraticInputFile - Capital Unit Idiosyncratic Stress Scenario Specifications File
      skipHeader - TRUE - Interpret the First Row as a Header
      Returns:
      The Map of Capital Unit Idiosyncratic Stress Scenarios

    • LoadSystemic

      public static final java.util.Map<java.lang.String,​SystemicScenarioPnLSeriesPAA> LoadSystemic​(java.lang.String capitalUnitSystemicInputFile, boolean skipHeader)
      Load the Capital Unit Systemic Stress Scenarios
      Parameters:
      capitalUnitSystemicInputFile - Capital Unit Systemic Stress Scenario Specifications File
      skipHeader - TRUE - Interpret the First Row as a Header
      Returns:
      The Map of Capital Unit Systemic Stress Scenarios

    • LoadStressScenario

      public static final CapitalUnitStressEventContext LoadStressScenario​(java.lang.String capitalUnitCorrelatedInputFile, java.lang.String capitalUnitIdiosyncraticInputFile, java.lang.String capitalUnitSystemicInputFile, boolean skipHeader)
      Load the Capital Unit Stress Scenarios
      Parameters:
      capitalUnitCorrelatedInputFile - Capital Unit Correlated Stress Scenario Specifications File
      capitalUnitIdiosyncraticInputFile - Capital Unit Idiosyncratic Stress Scenario Specifications File
      capitalUnitSystemicInputFile - Capital Unit Systemic Stress Scenario Specifications File
      skipHeader - TRUE - Interpret the First Row as a Header
      Returns:
      The Map of Capital Unit Stress Scenarios