Package org.drip.simm.product

Class RiskMeasureSensitivityCR

java.lang.Object
org.drip.simm.product.RiskMeasureSensitivityCR
public class RiskMeasureSensitivityCR
extends java.lang.Object
RiskMeasureSensitivityCR holds the Risk Class Bucket Sensitivities for the CR Risk Measure. 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

  • Constructor Details

    • RiskMeasureSensitivityCR

      public RiskMeasureSensitivityCR​(java.util.Map<java.lang.String,​BucketSensitivityCR> bucketSensitivityMap) throws java.lang.Exception
      RiskMeasureSensitivityCR Constructor
      Parameters:
      bucketSensitivityMap - The CR Class Bucket Sensitivity Map
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • bucketSensitivityMap

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

    • linearAggregate

      public RiskMeasureAggregateCR linearAggregate​(RiskMeasureSensitivitySettingsCR riskMeasureSensitivitySettings, MarginEstimationSettings marginEstimationSettings)
      Generate the Linear Risk Measure Aggregate
      Parameters:
      riskMeasureSensitivitySettings - The Risk Measure Sensitivity Settings
      marginEstimationSettings - Margin Estimation Settings
      Returns:
      The Linear Risk Measure Aggregate

    • curvatureAggregate

      public RiskMeasureAggregateCR curvatureAggregate​(RiskMeasureSensitivitySettingsCR riskMeasureSensitivitySettings, MarginEstimationSettings marginEstimationSettings)
      Generate the Curvature Risk Measure Aggregate
      Parameters:
      riskMeasureSensitivitySettings - The Risk Measure Sensitivity Settings
      marginEstimationSettings - Margin Estimation Settings
      Returns:
      The Curvature Risk Measure Aggregate