Package org.drip.capital.stress

Class EventSpecification

java.lang.Object
org.drip.capital.stress.EventSpecification
public class EventSpecification
extends java.lang.Object
EventSpecification contains the Name of a Stress Event and its Probability. 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 Details

    • EventSpecification

      public EventSpecification​(java.lang.String name, double probability) throws java.lang.Exception
      EventSpecification Constructor
      Parameters:
      name - The Stress Event Name
      probability - The Stress Event Probability
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Systemic2008Baseline

      public static final EventSpecification Systemic2008Baseline()
      Construct the 2008 Baseline Version of the Systemic Stress Event Specification
      Returns:
      The 2008 Baseline Version of Systemic Stress Event Specification

    • Systemic1974Baseline

      public static final EventSpecification Systemic1974Baseline()
      Construct the 1974 Baseline Version of the Systemic Stress Event Specification
      Returns:
      The 1974 Baseline Version of Systemic Stress Event Specification

    • SystemicDeepDownturn

      public static final EventSpecification SystemicDeepDownturn()
      Construct the Deep Down-turn Version of the Systemic Stress Event Specification
      Returns:
      The Deep Down-turn Version of Systemic Stress Event Specification

    • SystemicDollarDecline

      public static final EventSpecification SystemicDollarDecline()
      Construct the Dollar Decline Version of the Systemic Stress Event Specification
      Returns:
      The Dollar Decline Version of Systemic Stress Event Specification

    • SystemicInterestRateShock

      public static final EventSpecification SystemicInterestRateShock()
      Construct the Interest Rate Shock Version of the Systemic Stress Event Specification
      Returns:
      The Interest Rate Shock Version of Systemic Stress Event Specification

    • SystemicLostDecade

      public static final EventSpecification SystemicLostDecade()
      Construct the Lost Decade Version of the Systemic Stress Event Specification
      Returns:
      The Lost Decade Version of Systemic Stress Event Specification

    • name

      public java.lang.String name()
      Retrieve the Name of the Stress Event
      Returns:
      Name of the Stress Event

    • probability

      public double probability()
      Retrieve the Probability of the Stress Event
      Returns:
      Probability of the Stress Event