Package org.drip.simm.parameters

Class RiskMeasureSensitivitySettingsCR

java.lang.Object
org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
public class RiskMeasureSensitivitySettingsCR
extends java.lang.Object
RiskMeasureSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket Sensitivities across Individual CR Class Risk Measure 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




Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • RiskMeasureSensitivitySettingsCR

      public RiskMeasureSensitivitySettingsCR​(java.util.Map<java.lang.String,​BucketSensitivitySettingsCR> bucketSensitivitySettingsMap, LabelCorrelation crossBucketCorrelation) throws java.lang.Exception
      RiskMeasureSensitivitySettingsCR Constructor
      Parameters:
      bucketSensitivitySettingsMap - Credit Bucket Sensitivity Settings Map
      crossBucketCorrelation - Cross Bucket Correlation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • ISDA_CRQ_DELTA_20

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_DELTA_20()
      Generate SIMM 2.0 Credit Qualifying Delta Sensitivity Settings
      Returns:
      The SIMM 2.0 Credit Qualifying Delta Sensitivity Settings

    • ISDA_CRQ_DELTA_21

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_DELTA_21()
      Generate SIMM 2.1 Credit Qualifying Delta Sensitivity Settings
      Returns:
      The SIMM 2.1 Credit Qualifying Delta Sensitivity Settings

    • ISDA_CRQ_DELTA_24

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_DELTA_24()
      Generate SIMM 2.4 Credit Qualifying Delta Sensitivity Settings
      Returns:
      The SIMM 2.4 Credit Qualifying Delta Sensitivity Settings

    • ISDA_CRQ_VEGA_20

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_VEGA_20()
      Generate SIMM 2.0 Credit Qualifying Vega Sensitivity Settings
      Returns:
      The SIMM 2.0 Credit Qualifying Vega Sensitivity Settings

    • ISDA_CRQ_VEGA_21

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_VEGA_21()
      Generate SIMM 2.1 Credit Qualifying Vega Sensitivity Settings
      Returns:
      The SIMM 2.1 Credit Qualifying Vega Sensitivity Settings

    • ISDA_CRQ_VEGA_24

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_VEGA_24()
      Generate SIMM 2.4 Credit Qualifying Vega Sensitivity Settings
      Returns:
      The SIMM 2.4 Credit Qualifying Vega Sensitivity Settings

    • ISDA_CRQ_CURVATURE_20

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_CURVATURE_20()
      Generate SIMM 2.0 Credit Qualifying Curvature Sensitivity Settings
      Returns:
      The SIMM 2.0 Credit Qualifying Curvature Sensitivity Settings

    • ISDA_CRQ_CURVATURE_21

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_CURVATURE_21()
      Generate SIMM 2.1 Credit Qualifying Curvature Sensitivity Settings
      Returns:
      The SIMM 2.1 Credit Qualifying Curvature Sensitivity Settings

    • ISDA_CRQ_CURVATURE_24

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRQ_CURVATURE_24()
      Generate SIMM 2.4 Credit Qualifying Curvature Sensitivity Settings
      Returns:
      The SIMM 2.4 Credit Qualifying Curvature Sensitivity Settings

    • ISDA_CRNQ_DELTA_20

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_DELTA_20()
      Generate SIMM 2.0 Non-Credit Qualifying Delta Sensitivity Settings
      Returns:
      The SIMM 2.0 Non-Credit Qualifying Delta Sensitivity Settings

    • ISDA_CRNQ_DELTA_21

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_DELTA_21()
      Generate SIMM 2.1 Non-Credit Qualifying Delta Sensitivity Settings
      Returns:
      The SIMM 2.1 Non-Credit Qualifying Delta Sensitivity Settings

    • ISDA_CRNQ_DELTA_24

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_DELTA_24()
      Generate SIMM 2.4 Non-Credit Qualifying Delta Sensitivity Settings
      Returns:
      The SIMM 2.4 Non-Credit Qualifying Delta Sensitivity Settings

    • ISDA_CRNQ_VEGA_20

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_VEGA_20()
      Generate SIMM 2.0 Non-Credit Qualifying Vega Sensitivity Settings
      Returns:
      The SIMM 2.0 Non-Credit Qualifying Vega Sensitivity Settings

    • ISDA_CRNQ_VEGA_21

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_VEGA_21()
      Generate SIMM 2.1 Non-Credit Qualifying Vega Sensitivity Settings
      Returns:
      The SIMM 2.1 Non-Credit Qualifying Vega Sensitivity Settings

    • ISDA_CRNQ_VEGA_24

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_VEGA_24()
      Generate SIMM 2.4 Non-Credit Qualifying Vega Sensitivity Settings
      Returns:
      The SIMM 2.4 Non-Credit Qualifying Vega Sensitivity Settings

    • ISDA_CRNQ_CURVATURE_20

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_CURVATURE_20()
      Generate SIMM 2.0 Non-Credit Qualifying Curvature Sensitivity Settings
      Returns:
      The SIMM 2.0 Non-Credit Qualifying Curvature Sensitivity Settings

    • ISDA_CRNQ_CURVATURE_21

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_CURVATURE_21()
      Generate SIMM 2.1 Non-Credit Qualifying Curvature Sensitivity Settings
      Returns:
      The SIMM 2.1 Non-Credit Qualifying Curvature Sensitivity Settings

    • ISDA_CRNQ_CURVATURE_24

      public static final RiskMeasureSensitivitySettingsCR ISDA_CRNQ_CURVATURE_24()
      Generate SIMM 2.4 Non-Credit Qualifying Curvature Sensitivity Settings
      Returns:
      The SIMM 2.4 Non-Credit Qualifying Curvature Sensitivity Settings

    • crossBucketCorrelation

      public LabelCorrelation crossBucketCorrelation()
      Retrieve the Cross Bucket Correlation
      Returns:
      The Cross Bucket Correlation

    • bucketSensitivitySettingsMap

      public java.util.Map<java.lang.String,​BucketSensitivitySettingsCR> bucketSensitivitySettingsMap()
      Retrieve the Credit Bucket Sensitivity Settings Map
      Returns:
      The Credit Bucket Sensitivity Settings Map