java.lang.Object

org.drip.validation.riskfactorsingle.EventAggregationWeightFunction

public abstract class EventAggregationWeightFunction
extends java.lang.Object

EventAggregationWeightFunction exposes the Aggregation Weight for the given Event.

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

Module = Computational Core Module
Library = Model Validation Analytics Library
Project = Risk Factor and Hypothesis Validation, Evidence Processing, and Model Testing
Package = Single Risk Factor Aggregate Tests

Method Summary

Modifier and Type	Method	Description
`static EventAggregationWeightFunction`	`AnfusoKaryampasNawroth()`	Construct the Anfuso, Karyampas, and Nawroth (2017) Version of Event Aggregation Weight Function
`abstract double`	`loading(java.lang.String eventID)`	Generate the Loadings Weight corresponding to the Event ID

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

Constructor Details
- EventAggregationWeightFunction
  
  public EventAggregationWeightFunction()
Method Details
- AnfusoKaryampasNawroth
  
  public static final EventAggregationWeightFunction AnfusoKaryampasNawroth()
  
  Construct the Anfuso, Karyampas, and Nawroth (2017) Version of Event Aggregation Weight Function
  
  Returns:
  
  The Anfuso, Karyampas, and Nawroth (2017) Version of Event Aggregation Weight Function
- loading
  
  public abstract double loading(java.lang.String eventID) throws java.lang.Exception
  
  Generate the Loadings Weight corresponding to the Event ID
  
  Parameters:
  
  eventID - The Event ID
  
  Returns:
  
  The Loadings Weight corresponding to the Event ID
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid

Class EventAggregationWeightFunction