Package org.drip.sample.systemicstress

Built-in GSST Scenario Examination
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AFSASIA
    AFSASIA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == ASIA - RISK TYPE == AFS 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.
    AFSEMEA
    AFSEMEA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == EMEA - RISK TYPE == AFS 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.
    AFSLATINAMERICA
    AFSLATINAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == LATIN AMERICA - RISK TYPE == AFS 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.
    AFSNORTHAMERICA
    AFSNORTHAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == NORTH AMERICA - RISK TYPE == AFS 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.
    CreditSpreadEventDesign
    CreditSpreadEventDesign zeds the Built-in Credit Spread Events used for GSST Scenario Design.
    CVAASIA
    CVAASIA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == ASIA - RISK TYPE == CVA 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.
    CVAEMEA
    CVAEMEA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == EMEA - RISK TYPE == CVA 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.
    CVALATINAMERICA
    CVALATINAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == LATIN AMERICA - RISK TYPE == CVA 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.
    CVANORTHAMERICA
    CVANORTHAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == NORTH AMERICA - RISK TYPE == CVA 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.
    PensionASIA
    PensionASIA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == ASIA - RISK TYPE == Pension 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.
    PensionEMEA
    PensionEMEA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == EMEA - RISK TYPE == Pension 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.
    PensionLATINAMERICA
    PensionLATINAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == LATIN AMERICA - RISK TYPE == Pension 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.
    PensionNORTHAMERICA
    PensionNORTHAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == NORTH AMERICA - RISK TYPE == Pension 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.
    StressScenarioDefinition
    StressScenarioDefinition zeds the Built-in Stress Scenario Definitions used for GSST Scenario Design.
    TradingASIA
    TradingASIA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == ASIA - RISK TYPE == Trading 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.
    TradingEMEA
    TradingEMEA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == EMEA - RISK TYPE == Trading 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.
    TradingLATINAMERICA
    TradingLATINAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == LATIN AMERICA - RISK TYPE == Trading 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.
    TradingNORTHAMERICA
    TradingNORTHAMERICA zeds the Child Coordinates and their corresponding GSST Dump - Scenario Names, Loss Amount, and Probability for the following Coordinates: - REGION == NORTH AMERICA - RISK TYPE == Trading 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.