Package org.drip.capital.simulation

Class StressEventIndicator

java.lang.Object
org.drip.capital.simulation.StressEventIndicator
public class StressEventIndicator
extends java.lang.Object
StressEventIndicator holds the Systemic and the Idiosyncratic Stress Event Indicators corresponding to the specified Entity. 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
    StressEventIndicator​(double systemic, java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticMap)
    StressEventIndicator Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean containsIdiosyncratic​(java.lang.String eventName)
    Indicate if the Idiosyncratic Named Event contains a Random Entry
    static StressEventIndicator CustomSystemic​(java.util.Set<java.lang.String> idiosyncraticEventSet, double systemicEventIndicator)
    Construct the Instance of StressEventIndicator where the Systemic Indicator is Custom
    double idiosyncratic​(java.lang.String eventName)
    Retrieve the Entry corresponding to the Idiosyncratic Named Event
    java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticMap()
    Retrieve the Idiosyncratic Random Event Indicator Map
    static StressEventIndicator RandomSystemic​(java.util.Set<java.lang.String> idiosyncraticEventSet)
    Construct the Instance of StressEventIndicator where the Systemic Indicator is Random
    double systemic()
    Retrieve the Systemic Random Event Indicator

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • StressEventIndicator

      public StressEventIndicator​(double systemic, java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticMap) throws java.lang.Exception
      StressEventIndicator Constructor
      Parameters:
      systemic - Systemic Random Event Indicator
      idiosyncraticMap - Idiosyncratic Random Event Indicator Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • RandomSystemic

      public static final StressEventIndicator RandomSystemic​(java.util.Set<java.lang.String> idiosyncraticEventSet)
      Construct the Instance of StressEventIndicator where the Systemic Indicator is Random
      Parameters:
      idiosyncraticEventSet - The Set of Idiosyncratic Events
      Returns:
      Instance of StressEventIndicator where the Systemic Indicator is Random

    • CustomSystemic

      public static final StressEventIndicator CustomSystemic​(java.util.Set<java.lang.String> idiosyncraticEventSet, double systemicEventIndicator)
      Construct the Instance of StressEventIndicator where the Systemic Indicator is Custom
      Parameters:
      idiosyncraticEventSet - The Set of Idiosyncratic Events
      systemicEventIndicator - Systemic Event Indicator
      Returns:
      Instance of StressEventIndicator where the Systemic Indicator is Custom

    • systemic

      public double systemic()
      Retrieve the Systemic Random Event Indicator
      Returns:
      The Systemic Random Event Indicator

    • idiosyncraticMap

      public java.util.Map<java.lang.String,​java.lang.Double> idiosyncraticMap()
      Retrieve the Idiosyncratic Random Event Indicator Map
      Returns:
      The Idiosyncratic Random Event Indicator Map

    • containsIdiosyncratic

      public boolean containsIdiosyncratic​(java.lang.String eventName)
      Indicate if the Idiosyncratic Named Event contains a Random Entry
      Parameters:
      eventName - The Idiosyncratic Event
      Returns:
      TRUE - The Idiosyncratic Named Event contains a Random Entry

    • idiosyncratic

      public double idiosyncratic​(java.lang.String eventName) throws java.lang.Exception
      Retrieve the Entry corresponding to the Idiosyncratic Named Event
      Parameters:
      eventName - The Idiosyncratic Event
      Returns:
      The Entry corresponding to the Idiosyncratic Named Event
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid