Uses of Package
org.drip.capital.systemicscenario
| Package | Description |
|---|---|
| org.drip.capital.shell |
Economic Risk Capital Parameter Contexts
|
| org.drip.capital.systemicscenario |
Systemic Stress Scenario Design/Construction
|
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Classes in org.drip.capital.systemicscenario used by org.drip.capital.shell Class Description CreditSpreadEvent CreditSpreadEvent contains the Specifications of Criteria corresponding to a Credit Spread Event.PredictorScenarioSpecification PredictorScenarioSpecification specifies the Full Stress Scenario Specification for the given Predictor across Market Segments. -
Classes in org.drip.capital.systemicscenario used by org.drip.capital.systemicscenario 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.HistoricalScenarioDefinition HistoricalScenarioDefinition holds the Realizations of the Historical Stress Scenarios.HypotheticalScenarioDefinition HypotheticalScenarioDefinition holds the Realizations of the Hypothetical Stress Scenarios.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.