Package org.drip.capital.systemicscenario

Class StressScenarioSpecification

java.lang.Object

org.drip.capital.systemicscenario.StressScenarioSpecification

public class StressScenarioSpecification
extends java.lang.Object

StressScenarioSpecification specifies the Full Stress Scenario Specification for the given Market Factor/Applicability Combination. 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 = Systemic Stress Scenario Design/Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
StressScenarioSpecification(StressScenarioQuantification stressScenarioQuantification, HypotheticalScenarioDefinition hypotheticalScenarioDefinition, HistoricalScenarioDefinition historicalScenarioDefinition, CapitalBaselineDefinition capitalBaselineDefinition)	StressScenarioSpecification Constructor

Method Summary

Modifier and Type	Method	Description
CapitalBaselineDefinition	capitalBaselineDefinition()	Retrieve the Capital Baseline Definition
HistoricalScenarioDefinition	historicalScenarioDefinition()	Retrieve the Historical Scenario Definition
HypotheticalScenarioDefinition	hypotheticalScenarioDefinition()	Retrieve the Hypothetical Scenario Definition
StressScenarioQuantification	stressScenarioQuantification()	Retrieve the Stress Scenario Quantification

Methods inherited from class java.lang.Object

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

Constructor Details

StressScenarioSpecification

public StressScenarioSpecification(StressScenarioQuantification stressScenarioQuantification,
HypotheticalScenarioDefinition hypotheticalScenarioDefinition,
HistoricalScenarioDefinition historicalScenarioDefinition,
CapitalBaselineDefinition capitalBaselineDefinition)
                            throws java.lang.Exception

StressScenarioSpecification Constructor

Parameters:

stressScenarioQuantification - Stress Scenario Quantification

hypotheticalScenarioDefinition - Hypothetical Scenario Definition

historicalScenarioDefinition - Historical Scenario Definition

capitalBaselineDefinition - Capital Baseline Definition

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

stressScenarioQuantification

public StressScenarioQuantification stressScenarioQuantification()

Retrieve the Stress Scenario Quantification

Returns:

The Stress Scenario Quantification

hypotheticalScenarioDefinition

public HypotheticalScenarioDefinition hypotheticalScenarioDefinition()

Retrieve the Hypothetical Scenario Definition

Returns:

The Hypothetical Scenario Definition

historicalScenarioDefinition

public HistoricalScenarioDefinition historicalScenarioDefinition()

Retrieve the Historical Scenario Definition

Returns:

The Historical Scenario Definition

capitalBaselineDefinition

public CapitalBaselineDefinition capitalBaselineDefinition()

Retrieve the Capital Baseline Definition

Returns:

The Capital Baseline Definition