Package org.drip.simm.parameters

Class LiquiditySettings

java.lang.Object
org.drip.simm.parameters.LiquiditySettings
Direct Known Subclasses:
BucketSensitivitySettings, BucketSensitivitySettingsCR, BucketSensitivitySettingsIR
public abstract class LiquiditySettings
extends java.lang.Object
LiquiditySettings exposes the Concentration Thresholds for each Risk Factor. 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

  • Method Summary

    Modifier and Type Method Description
    double concentrationThreshold()
    Retrieve the Concentration Threshold

    Methods inherited from class java.lang.Object

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

  • Method Details

    • concentrationThreshold

      public double concentrationThreshold()
      Retrieve the Concentration Threshold
      Returns:
      The Concentration Threshold