Package org.drip.sample.businessspec

Class RBCRiskTypeMapping

java.lang.Object
org.drip.sample.businessspec.RBCRiskTypeMapping
public class RBCRiskTypeMapping
extends java.lang.Object
RBCRiskTypeMapping zeds the RBC to the iVAST Risk Type Mapping. It also indicates if the RBC is to be excluded from Consideration. 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 Summary

    Constructors
    Constructor Description
    RBCRiskTypeMapping()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] argumentArray)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RBCRiskTypeMapping

      public RBCRiskTypeMapping()

  • Method Details

    • main

      public static final void main​(java.lang.String[] argumentArray) throws java.lang.Exception
      Entry Point
      Parameters:
      argumentArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation