RiskTypeContext

java.lang.Object

org.drip.capital.shell.RiskTypeContext

public class RiskTypeContext
extends java.lang.Object

RiskTypeContext maintains the Loaded Mapping between Risk Code and Risk Type. Unmapped RBC's will be excluded. 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 Parameter Contexts

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

RiskTypeContext(java.util.Map<java.lang.String,java.lang.String> rbcRiskTypeMap)
RiskTypeContext Constructor

Method Summary

Modifier and Type	Method	Description
`boolean`	`containsRBC(java.lang.String rbc)`	Check if the RBC Code exists in the Risk Type Map
`boolean`	`rbcExclusionCheck(java.lang.String rbc)`	Check if the RBC Code is to be excluded
`java.util.Map<java.lang.String,java.lang.String>`	`rbcRiskTypeMap()`	Retrieve the RBC - Risk Type Map
`java.lang.String`	`riskType(java.lang.String rbc)`	Retrieve the Risk Type given the RBC Code

Methods inherited from class java.lang.Object

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

Constructor Details
- RiskTypeContext
  
  public RiskTypeContext(java.util.Map<java.lang.String,java.lang.String> rbcRiskTypeMap) throws java.lang.Exception
  
  RiskTypeContext Constructor
  
  Parameters:
  
  rbcRiskTypeMap - RBC - Risk Type Map
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- containsRBC
  
  public boolean containsRBC(java.lang.String rbc)
  
  Check if the RBC Code exists in the Risk Type Map
  
  Parameters:
  
  rbc - The RBC Code
  
  Returns:
  
  TRUE - The RBC Code Exists
- riskType
  
  public java.lang.String riskType(java.lang.String rbc)
  
  Retrieve the Risk Type given the RBC Code
  
  Parameters:
  
  rbc - The RBC Code
  
  Returns:
  
  Risk Type given the RBC Code
- rbcExclusionCheck
  
  public boolean rbcExclusionCheck(java.lang.String rbc)
  
  Check if the RBC Code is to be excluded
  
  Parameters:
  
  rbc - The RBC Code
  
  Returns:
  
  TRUE - The RBC Code must be excluded
- rbcRiskTypeMap
  
  public java.util.Map<java.lang.String,java.lang.String> rbcRiskTypeMap()
  
  Retrieve the RBC - Risk Type Map
  
  Returns:
  
  The RBC - Risk Type Map