Package org.drip.sample.correlatedstress

Correlated Stress Scenario Construction, Query, Generation
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ASIA
    ASIA zeds the Business Correlated Stress and their corresponding Scenario Names and Loss Amounts for the following Coordinates: - REGION == ASIA 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.
    EMEA
    EMEA zeds the Business Correlated Stress and their corresponding Scenario Names and Loss Amounts for the following Coordinates: - REGION == EMEA 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.
    LATINAMERICA
    LATINAMERICA zeds the Business Correlated Stress and their corresponding Scenario Names and Loss Amounts for the following Coordinates: - REGION == LATINAMERICA 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.
    NORTHAMERICA
    NORTHAMERICA zeds the Business Correlated Stress and their corresponding Scenario Names and Loss Amounts for the following Coordinates: - REGION == NORTHAMERICA 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.