java.lang.Object

org.drip.simm.credit.CRSystemics

public class CRSystemics
extends java.lang.Object

CRSystemics contains the Systemic Settings Common to both Qualifying and Non-Qualifying Credit 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

It provides the following Functionality:

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

Field Summary

Fields
Modifier and Type	Field	Description
`static java.lang.String`	`CREDIT_QUALITY_HIGH_YIELD`	The "High Yield" Credit Quality
`static java.lang.String`	`CREDIT_QUALITY_HY`	The "High Yield" HY Credit Quality
`static java.lang.String`	`CREDIT_QUALITY_IG`	The "Investment Grade" Credit Quality
`static java.lang.String`	`CREDIT_QUALITY_INVESTMENT_GRADE`	The "IG" Credit Quality
`static java.lang.String`	`CREDIT_QUALITY_NOT_RATED`	The "Not Rated" Credit Quality
`static java.lang.String`	`CREDIT_QUALITY_NR`	The "Not Rated" NR Credit Quality
`static java.lang.String`	`CREDIT_QUALITY_UNSPECIFIED`	The "Unspecified" Credit Quality

Constructor Summary

Constructors

Constructor Description

CRSystemics()
Method Summary

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Class CRSystemics