Package org.drip.simm.common

Class RiskFactorThresholdContainer

java.lang.Object
org.drip.simm.common.RiskFactorThresholdContainer
public class RiskFactorThresholdContainer
extends java.lang.Object
RiskFactorThresholdContainer holds the ISDA SIMM 2.0 Risk Factor Thresholds - the Concentration Limits for Interest Rate, Credit Spread, Equity, Commodity, and FX Risk Factors. The References are:

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
  • Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
  • Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
  • Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
  • International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    RiskFactorThresholdContainer()  

  • Method Summary

    Modifier and Type Method Description
    static boolean Init()
    Initialize the Risk Factor Threshold Container

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RiskFactorThresholdContainer

      public RiskFactorThresholdContainer()

  • Method Details

    • Init

      public static final boolean Init()
      Initialize the Risk Factor Threshold Container
      Returns:
      TRUE - The Risk Factor Threshold Container successfully initialized