Package org.drip.validation.distance

Class GapLossFunction

java.lang.Object
org.drip.validation.distance.GapLossFunction
public abstract class GapLossFunction
extends java.lang.Object
GapLossFunction holds the Function that Penalizes the Gap between the Empirical and the Hypothesis p-values.

  • Anfuso, F., D. Karyampas, and A. Nawroth (2017): A Sound Basel III Compliant Framework for Back-testing Credit Exposure Models https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264620 eSSRN
  • Diebold, F. X., T. A. Gunther, and A. S. Tay (1998): Evaluating Density Forecasts with Applications to Financial Risk Management, International Economic Review 39 (4) 863-883
  • Kenyon, C., and R. Stamm (2012): Discounting, LIBOR, CVA, and Funding: Interest Rate and Credit Pricing Palgrave Macmillan
  • Wikipedia (2018): Probability Integral Transform https://en.wikipedia.org/wiki/Probability_integral_transform
  • Wikipedia (2019): p-value https://en.wikipedia.org/wiki/P-value




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    GapLossFunction()  

  • Method Summary

    Modifier and Type Method Description
    static GapLossFunction ConservativePortfolioTest()
    Construct the Anfuso Karyampas Nawroth (2017) Conservative Portfolio Test Version of the Gap Loss Function
    abstract double loss​(double gap)
    Compute the Loss corresponding to the Empirical to Hypothesis Gap
    static GapLossFunction RiskFactorTest()
    Construct the Anfuso Karyampas Nawroth (2017) Risk Factor Test Version of the Gap Loss Function

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • GapLossFunction

      public GapLossFunction()

  • Method Details

    • RiskFactorTest

      public static final GapLossFunction RiskFactorTest()
      Construct the Anfuso Karyampas Nawroth (2017) Risk Factor Test Version of the Gap Loss Function
      Returns:
      The Anfuso Karyampas Nawroth (2017) Risk Factor Test Version of the Gap Loss Function

    • ConservativePortfolioTest

      public static final GapLossFunction ConservativePortfolioTest()
      Construct the Anfuso Karyampas Nawroth (2017) Conservative Portfolio Test Version of the Gap Loss Function
      Returns:
      The Anfuso Karyampas Nawroth (2017) Conservative Portfolio Test Version of the Gap Loss Function

    • loss

      public abstract double loss​(double gap) throws java.lang.Exception
      Compute the Loss corresponding to the Empirical to Hypothesis Gap
      Parameters:
      gap - The Empirical to Hypothesis Gap
      Returns:
      The Loss
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid