Package org.drip.simm.credit
Class CRQSystemics21
java.lang.Object
org.drip.simm.credit.CRQSystemics21
public class CRQSystemics21
extends java.lang.Object
CRQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit 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
- Residual Bucket - Risk Weight
- Credit Qualifying Vega Risk Weight
- Base Correlation - Risk Weight
- Base Correlation - Correlation across Index Families
- Author:
- Lakshmi Krishnamurthy
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Field Summary
Fields Modifier and Type Field Description static double
BASE_CORRELATION_CORRELATION
Base Correlation - Correlation across Index Familiesstatic double
BASE_CORRELATION_RISK_WEIGHT
Base Correlation - Risk Weightstatic double
RESIDUAL_BUCKET_RISK_WEIGHT
Residual Bucket - Risk Weightstatic double
VEGA_RISK_WEIGHT
Credit Qualifying Vega Risk Weight -
Constructor Summary
Constructors Constructor Description CRQSystemics21()
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Method Summary
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Field Details
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RESIDUAL_BUCKET_RISK_WEIGHT
public static final double RESIDUAL_BUCKET_RISK_WEIGHTResidual Bucket - Risk Weight- See Also:
- Constant Field Values
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VEGA_RISK_WEIGHT
public static final double VEGA_RISK_WEIGHTCredit Qualifying Vega Risk Weight- See Also:
- Constant Field Values
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BASE_CORRELATION_RISK_WEIGHT
public static final double BASE_CORRELATION_RISK_WEIGHTBase Correlation - Risk Weight- See Also:
- Constant Field Values
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BASE_CORRELATION_CORRELATION
public static final double BASE_CORRELATION_CORRELATIONBase Correlation - Correlation across Index Families- See Also:
- Constant Field Values
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Constructor Details
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CRQSystemics21
public CRQSystemics21()
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