Package org.drip.simm.credit

Class CRNQBucketCorrelation24

java.lang.Object
org.drip.simm.credit.CRNQBucketCorrelation24
public class CRNQBucketCorrelation24
extends java.lang.Object
CRNQBucketCorrelation24 contains the SIMM 2.4 between the Same/Different Issuer/Seniority and different Vertex/Currency for the Same Credit Non-Qualifying Buckets. 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 (2021): SIMM v2.4 Methodology https://www.isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf
It provides the following Functionality:
  • Correlation between Sensitivities having Overlap of Greater Than 80% Names Non-Residual Same Bucket
  • Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
  • Correlation between Sensitivities having Overlap of Greater Than 80% Names Residual
  • Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
  • Correlation between Sensitivities of Non-Residual to Non-Residual

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package Credit Qualifying/Non-Qualifying Risk Factor Settings

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static double GT_80PC_OVERLAP_NON_RESIDUAL
    Correlation between Sensitivities having Overlap of Greater Than 80% Names Non-Residual Same Bucket
    static double GT_80PC_OVERLAP_RESIDUAL
    Correlation between Sensitivities having Overlap of Greater Than 80% Names Residual
    static double LT_80PC_OVERLAP_NON_RESIDUAL
    Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
    static double LT_80PC_OVERLAP_RESIDUAL
    Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
    static double NON_RESIDUAL_TO_NON_RESIDUAL
    Correlation between Sensitivities of Non-Residual to Non-Residual

  • Constructor Summary

    Constructors
    Constructor Description
    CRNQBucketCorrelation24()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • GT_80PC_OVERLAP_NON_RESIDUAL

      public static final double GT_80PC_OVERLAP_NON_RESIDUAL
      Correlation between Sensitivities having Overlap of Greater Than 80% Names Non-Residual Same Bucket
      See Also:
      Constant Field Values

    • LT_80PC_OVERLAP_NON_RESIDUAL

      public static final double LT_80PC_OVERLAP_NON_RESIDUAL
      Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
      See Also:
      Constant Field Values

    • GT_80PC_OVERLAP_RESIDUAL

      public static final double GT_80PC_OVERLAP_RESIDUAL
      Correlation between Sensitivities having Overlap of Greater Than 80% Names Residual
      See Also:
      Constant Field Values

    • LT_80PC_OVERLAP_RESIDUAL

      public static final double LT_80PC_OVERLAP_RESIDUAL
      Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
      See Also:
      Constant Field Values

    • NON_RESIDUAL_TO_NON_RESIDUAL

      public static final double NON_RESIDUAL_TO_NON_RESIDUAL
      Correlation between Sensitivities of Non-Residual to Non-Residual
      See Also:
      Constant Field Values

  • Constructor Details

    • CRNQBucketCorrelation24

      public CRNQBucketCorrelation24()