Package org.drip.simm.credit

Class CRNQSystemics21

java.lang.Object

org.drip.simm.credit.CRNQSystemics21

public class CRNQSystemics21
extends java.lang.Object

CRNQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Non-Qualifying 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

• 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	VEGA_RISK_WEIGHT	Credit Non-Qualifying Vega Risk Weight

Constructor Summary

Constructors

Constructor	Description
CRNQSystemics21()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

VEGA_RISK_WEIGHT

public static final double VEGA_RISK_WEIGHT

Credit Non-Qualifying Vega Risk Weight

See Also:

Constant Field Values

Constructor Details

CRNQSystemics21

public CRNQSystemics21()