Package org.drip.capital.systemicscenario

Class PredictorScenarioSpecification

java.lang.Object
org.drip.capital.systemicscenario.PredictorScenarioSpecification
public class PredictorScenarioSpecification
extends java.lang.Object
PredictorScenarioSpecification specifies the Full Stress Scenario Specification for the given Predictor across Market Segments. 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

    • PredictorScenarioSpecification

      public PredictorScenarioSpecification​(java.lang.String name, java.lang.String category) throws java.lang.Exception
      PredictorScenarioSpecification Constructor
      Parameters:
      name - Predictor Name
      category - Predictor Category
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • name

      public java.lang.String name()
      Retrieve the Predictor Name
      Returns:
      The Predictor Name

    • category

      public java.lang.String category()
      Retrieve the Predictor Category
      Returns:
      The Predictor Category

    • segmentScenarioSpecificationMap

      public java.util.Map<java.lang.String,​StressScenarioSpecification> segmentScenarioSpecificationMap()
      Retrieve the Market Segment Stress Scenario Specification Map
      Returns:
      The Market Segment Stress Scenario Specification Map

    • addStressScenarioSpecification

      public boolean addStressScenarioSpecification​(java.lang.String marketSegment, StressScenarioSpecification segmentScenarioSpecification)
      Add the Stress Scenario Specification
      Parameters:
      marketSegment - The Market Segment
      segmentScenarioSpecification - The Stress Scenario Specification
      Returns:
      TRUE - The Stress Scenario Specification successfully added

    • containsStressScenarioSpecification

      public boolean containsStressScenarioSpecification​(java.lang.String marketSegment)
      Indicate the Presence of the Market Segment
      Parameters:
      marketSegment - Market Segment
      Returns:
      TRUE - The Market Segment is Present

    • stressScenarioSpecification

      public StressScenarioSpecification stressScenarioSpecification​(java.lang.String marketSegment)
      Retrieve the Stress Scenario Specification given the Market Segment
      Parameters:
      marketSegment - Market Segment
      Returns:
      The Stress Scenario Specification