Package org.drip.capital.systemicscenario

Systemic Stress Scenario Design/Construction
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CapitalBaselineDefinition
    CapitalBaselineDefinition holds the Capital Baseline Estimates for the Historical Scenarios.
    CreditSpreadEvent
    CreditSpreadEvent contains the Specifications of Criteria corresponding to a Credit Spread Event.
    Criterion
    Criterion contains the Specification Details of a Credit Spread Event Criterion.
    CriterionUnit
    CriterionUnit maintains a List of the Possible Criterion Units.
    HistoricalScenarioDefinition
    HistoricalScenarioDefinition holds the Realizations of the Historical Stress Scenarios.
    HypotheticalScenarioDefinition
    HypotheticalScenarioDefinition holds the Realizations of the Hypothetical Stress Scenarios.
    MarketSegment
    MarketSegment maintains a List of the Applicable Market Segments.
    PredictorScenarioSpecification
    PredictorScenarioSpecification specifies the Full Stress Scenario Specification for the given Predictor across Market Segments.
    StressScenarioQuantification
    StressScenarioQuantification specifies the Unit and the Type of Change for the given Market Factor/Applicability Combination.
    StressScenarioSpecification
    StressScenarioSpecification specifies the Full Stress Scenario Specification for the given Market Factor/Applicability Combination.
    SystemicStressShockIndicator
    SystemicStressShockIndicator holds the Directional Indicator Settings for a given Systemic Stress Shock Event.
    TypeOfChange
    TypeOfChange maintains a List of the Possible Types of Change.