CapitalUnitStressEventFactory.java
package org.drip.capital.env;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>CapitalUnitStressEventFactory</i> instantiates the Built-in Systemic, Idiosyncratic, and Correlated
* Events at the Capital Unit Coordinate Level. The References are:
*
* <br><br>
* <ul>
* <li>
* Bank for International Supervision(2005): Stress Testing at Major Financial Institutions: Survey
* Results and Practice https://www.bis.org/publ/cgfs24.htm
* </li>
* <li>
* Glasserman, P. (2004): <i>Monte Carlo Methods in Financial Engineering</i> <b>Springer</b>
* </li>
* <li>
* Kupiec, P. H. (2000): Stress Tests and Risk Capital <i>Risk</i> <b>2 (4)</b> 27-39
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/README.md">Basel Market Risk and Operational Capital</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/env/README.md">Economic Risk Capital Parameter Factories</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class CapitalUnitStressEventFactory
{
private static final org.drip.capital.shell.SystemicScenarioPnLSeries SystemicPnLSeries (
final double baseline1974T0,
final double baseline2008T0,
final double deepDownturnT0,
final double dollarDeclineT0,
final double interestRateShockT0,
final double lostDecadeT0,
final double baseline1974TMinus1,
final double baseline2008TMinus1,
final double deepDownturnTMinus1,
final double dollarDeclineTMinus1,
final double interestRateShockTMinus1,
final double lostDecadeTMinus1,
final double baseline1974TMinus2,
final double baseline2008TMinus2,
final double deepDownturnTMinus2,
final double dollarDeclineTMinus2,
final double interestRateShockTMinus2,
final double lostDecadeTMinus2)
throws java.lang.Exception
{
return new org.drip.capital.shell.SystemicScenarioPnLSeries (
new org.drip.capital.stress.PnLSeries ( // 1974 Baseline
new double[]
{
baseline1974T0,
baseline1974TMinus1,
baseline1974TMinus2,
}
),
new org.drip.capital.stress.PnLSeries ( // 2008 Baseline
new double[]
{
baseline2008T0,
baseline2008TMinus1,
baseline2008TMinus2,
}
),
new org.drip.capital.stress.PnLSeries ( // Deep Down-turn
new double[]
{
deepDownturnT0,
deepDownturnTMinus1,
deepDownturnTMinus2,
}
),
new org.drip.capital.stress.PnLSeries ( // Dollar Decline
new double[]
{
dollarDeclineT0,
dollarDeclineTMinus1,
dollarDeclineTMinus2,
}
),
new org.drip.capital.stress.PnLSeries ( // Interest Rate Shock
new double[]
{
interestRateShockT0,
interestRateShockTMinus1,
interestRateShockTMinus2,
}
),
new org.drip.capital.stress.PnLSeries ( // Lost Decade
new double[]
{
lostDecadeT0,
lostDecadeTMinus1,
lostDecadeTMinus2,
}
)
);
}
private static boolean LoadSystemic (
final org.drip.capital.shell.CapitalUnitStressEventContext capitalUnitStressEventContext)
{
try
{
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CLP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-458380.0,
-622688.5,
-322792.0,
-195051.9,
-259148.0,
-162833.5,
-621498.0,
-841960.0,
-437867.0,
-264705.0,
-351611.0,
-221006.4,
-808363.0,
-1091459.5,
-569845.0,
-344677.0,
-457714.0,
-287815.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CONSUMER_OTHER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-6730.0,
-6737.5,
-1475.6,
-885.8,
-180.5,
-738.2,
-6772.2,
-6779.2,
-1484.9,
-891.3,
-181.6,
-742.9,
-7057.8,
-7064.6,
-1547.5,
-928.9,
-189.2,
-774.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-10413958.1,
-12643473.7,
-6111907.7,
-3699993.8,
-4941859.6,
-3090236.1,
-11388502.3,
-13963597.0,
-7058627.2,
-4279168.5,
-5696352.6,
-3575246.2,
-8695801.0,
-10462885.3,
-5052794.5,
-3062428.0,
-4090034.6,
-2558518.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-34317398.1,
-45600125.8,
-25002299.5,
-15235061.4,
-20156367.8,
-12745559.6,
-43861543.1,
-58103919.0,
-32200933.7,
-19653694.3,
-25980883.9,
-16449008.6,
-35610433.6,
-46998714.9,
-26060450.5,
-15906054.9,
-21026623.9,
-13312508.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.IG_PRIMARY_LOANS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-82136410.3,
-90726176.9,
-32353725.0,
-19618464.1,
-19885276.9,
-16392501.5,
-90952651.6,
-99402253.7,
-35194006.6,
-21351743.6,
-20469082.7,
-17843199.1,
-84997782.2,
-94243925.6,
-34641365.7,
-21026042.1,
-21660224.4,
-17573025.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OS_B +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-6206.2,
-4475.7,
-4073.8,
-1651.1,
-3549.6,
-1608.8,
-123211.1,
-85401.1,
-86244.3,
-34897.0,
-77158.4,
-34162.5,
-106504.1,
-84448.6,
-58038.3,
-23652.1,
-46126.3,
-22689.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-4622452.8,
-5746897.6,
-3248344.8,
-1990094.1,
-2619570.7,
-1667161.6,
-5180559.7,
-6423446.0,
-3639831.3,
-2230880.4,
-2935604.5,
-1869077.3,
-5652661.7,
-6989699.5,
-3974072.9,
-2436903.4,
-3206028.0,
-2041934.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RISK_TREASURY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-85727015.9,
48713603.2,
60347166.3,
-90074829.1,
-73463937.4,
32156075.8,
-90028051.3,
52076698.0,
59307233.8,
-92159471.2,
-71998547.7,
31722683.5,
-79551036.7,
45098570.1,
51128995.3,
-81648772.4,
-63602859.6,
27369076.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.ADVISORY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
-22330.3,
-24291.1,
-10671.7,
-6443.9,
-26.3,
-5378.5,
68124.1,
73937.4,
32589.3,
19685.4,
80.4,
16432.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CLP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-101511126.,
-107023839.,
-73272213.,
-46305166.,
-60138293.,
-39108668.,
-342566113,
-320548916,
-257619530,
-167060830,
-214161084,
-142031208,
-151791557,
-146757493,
-112508175,
-72637985,
-93313967,
-61694628
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.IG_PRIMARY_LOANS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.INTERNATIONAL_RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LEVERAGED_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0,
0.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-142747608.2,
-162255158.7,
-74895263.4,
-45585817.8,
-47397590.3,
-38126081.5,
-140963977.0,
-160569178.1,
-74879217.2,
-45592381.4,
-47734057.0,
-38135028.5,
-109323283.1,
-122440413.9,
-53329943.0,
-32386760.8,
-29698265.2,
-27071526.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LONG_TERM_ASSET_GROUP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
183522.0,
183042.5,
128251.0,
80931.6,
105206.0,
68311.5,
185552.0,
184587.0,
129749.0,
81916.4,
106460.0,
69151.2,
186490.0,
186004.0,
130331.0,
82247.9,
106914.0,
69423.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OS_B +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
-65643.6,
-68572.0,
-26507.3,
-15952.2,
-143.4,
-13303.5,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RISK_TREASURY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
46773575.3,
-106639327.2,
-84618233.2,
87173562.8,
63606330.0,
-44704377.5,
60055776.2,
-122814499.6,
-92089126.1,
105022053.0,
68042495.6,
-48915213.4,
34546876.1,
-117318713.5,
-70141726.0,
83977958.9,
41868691.8,
-37657287.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.ADVISORY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-52313639.1,
-54697073.0,
-40882710.1,
-26062226.3,
-33724382.1,
-22055163.6,
-897005.8,
-892785.6,
-183027.1,
-109830.1,
-25178.9,
-91528.0,
72699789.9,
81176781.2,
56462638.7,
35669528.9,
46375015.7,
30117604.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CLP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-55750468.9,
-65078261.0,
-42267690.1,
-26464319.4,
-36086155.6,
-22295708.6,
-56375049.1,
-65650971.4,
-42753346.3,
-26780229.3,
-36517604.7,
-22564386.8,
-60297729.8,
-70081708.7,
-45738819.0,
-28661145.6,
-39084024.6,
-24151606.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-47269660.4,
-49523549.2,
-37027432.9,
-23707208.7,
-30589483.2,
-20087850.1,
-48559397.1,
-50774923.5,
-38050036.8,
-24371634.5,
-31440421.9,
-20652991.2,
-50546027.0,
-52806007.7,
-39613346.7,
-25378357.8,
-32735570.0,
-21507333.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LEVERAGED_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-307303791.7,
-354305740.0,
-186599272.3,
-114752856.5,
-137021658.1,
-96228524.2,
-364733065.9,
-413340252.7,
-232218823.2,
-143892426.3,
-173802360.7,
-120899946.4,
-406999809.5,
-458934683.4,
-270190833.3,
-168175806.8,
-208359798.0,
-141466561.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OS_B +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
3.5,
3.5,
1.1,
0.7,
0.1,
0.6,
-18537.9,
-25155.1,
-13967.3,
-8530.2,
-11275.5,
-7140.4,
15.1,
15.1,
4.7,
2.9,
0.2,
2.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-16293466.0,
-17269254.3,
-7315130.2,
-4543037.1,
-4557942.2,
-3820493.2,
-15533335.3,
-16503636.8,
-6997632.0,
-4343298.9,
-4373855.3,
-3651958.0,
-16140931.9,
-17168201.9,
-7304578.5,
-4533596.2,
-4582199.6,
-3811917.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.AI +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CAPITAL_MARKETS_ORGANIZATION +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CLP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-1237872371.0,
-1518130363.0,
-743564055.0,
-447574759.5,
-709523495.4,
-373289326.7,
-1204680571.0,
-1475126600.0,
-721335237.9,
-434307352.6,
-694722535.3,
-362248550.1,
-1338096362.0,
-1641343438.0,
-803838590.5,
-483830046.0,
-766297412.2,
-403521673.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GLOBAL_SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-83069.6,
-74149.4,
-64040.3,
-42088.3,
-53586.2,
-35909.7,
-82085.2,
-73139.3,
-63301.7,
-41618.7,
-52978.1,
-35512.5,
-86283.1,
-76419.0,
-67698.5,
-44927.1,
-56901.6,
-38444.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-18116.6,
-18130.3,
-2505.5,
-1503.3,
-2407.9,
-1252.8,
-19729.4,
-19744.0,
-2728.6,
-1637.2,
-2622.3,
-1364.3,
-20755.8,
-20770.7,
-2870.5,
-1722.4,
-2758.7,
-1435.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LEVERAGED_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOAN_PORTFOLIO_MANAGEMENT +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LONG_TERM_ASSET_GROUP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL_SECURITIES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-0.3,
-0.3,
-0.2,
-0.1,
-0.2,
-0.1,
-0.3,
-0.3,
-0.2,
-0.1,
-0.2,
-0.1,
-0.3,
-0.3,
-0.2,
-0.1,
-0.2,
-0.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-679876938.9,
-799473945.9,
-511058362.0,
-319268630.9,
-419061324.4,
-268197973.0,
-857752370.0,
-1009228879.0,
-646305287.4,
-400611632.4,
-527526605.1,
-335961297.0,
-702151002.4,
-833512924.4,
-511354339.4,
-312045217.9,
-413712457.8,
-260735585.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OS_B +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
6.9,
9.1,
4.9,
3.0,
3.9,
2.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_FI_UNDERWRITING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PRIME_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PRIMERICA_FINANCIAL_SERVICES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-183696280.3,
-208904274.9,
-132435093.6,
-82857708.2,
-108580773.2,
-69810055.3,
-191798334.1,
-217548060.1,
-138341445.0,
-86613315.1,
-113445692.1,
-72989530.7,
-206954904.5,
-232301232.8,
-150019033.8,
-94353868.1,
-123267518.9,
-79619156.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PROJECT_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RISK_TREASURY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
-126711028.6,
29077949.6,
240726519.1,
-44247610.7,
-310443626.6,
130518863.8,
-84989811.7,
-8128945.9,
223313025.9,
2756285.2,
-300378687.2,
120841940.7,
-164197156.2,
26216575.3,
260173056.3,
-68994138.4,
-347397866.8,
140223587.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.AFS,
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-6981776.1,
-8270921.6,
-4981287.4,
-3144685.4,
-3623408.7,
-2664817.9,
-7397008.7,
-8762791.7,
-5277569.0,
-3331733.1,
-3838901.8,
-2823332.8,
-7974964.8,
-9447483.4,
-5689872.2,
-3592008.1,
-4138818.0,
-3043891.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-197351,
-233828,
-140764,
-88855,
-102417,
-75293,
-219805,
-260432,
-156780,
-98964,
-114069,
-83859,
-236413,
-280110,
-168626,
-106442,
-122688,
-90195
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-26829297,
-31788260,
-19136536,
-12079542,
-13923254,
-10235818,
-27532273,
-32621185,
-19637953,
-12396052,
-14288085,
-10504024,
-27661377,
-32774136,
-19730037,
-12454171,
-14355068,
-10553271
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-673,
-798,
-480,
-304,
-350,
-258,
-1708,
-2023,
-1218,
-769,
-886,
-651,
-393,
-465,
-280,
-177,
-204,
-150
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-75170158.6,
-81721164.7,
-55750031.4,
-31023927.5,
-39578652.9,
-29709677.0,
-66746262.3,
-72479767.8,
-49803283.6,
-32055613.5,
-36926983.2,
-27661786.1,
-64031147.6,
-68340160.4,
-44727457.6,
-26878629.4,
-33552061.4,
-23860268.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-52891619.0,
-57656673.6,
-38118894.5,
-24167857.0,
-28288951.1,
-20465058.2,
-53991380.9,
-58475324.2,
-39830429.4,
-24704311.9,
-28261353.4,
-21327948.0,
-55508076.0,
-55666225.6,
-37104818.8,
-26200088.3,
-26369188.8,
-20626127.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GWM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-4620031,
-5473974,
-3295343,
-2080115,
-2397591,
-1762617,
-4490864,
-5320932,
-3203194,
-2021965,
-2330569,
-1713342,
-3611289,
-4278786,
-2575849,
-1625934,
-1874117,
-1377776
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GWM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-1581,
-1873,
-1127,
-712,
-820,
-603,
-1155,
-1368,
-823,
-519,
-599,
-440,
-1084,
-1285,
-773,
-488,
-563,
-414
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-20410957.6,
-28828928.8,
-20150772.8,
-5569929.5,
-10436885.8,
-10708624.5,
-14680607.8,
-21991215.1,
-16191039.6,
-3226014.2,
-7516912.0,
-8590780.9,
-8918233.8,
-16675487.4,
-13458660.8,
338877.6,
-4515855.1,
-7111055.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-109042794,
-129197629,
-77776976,
-49095094,
-56588553,
-41601640,
-111415604,
-132009000,
-79469426,
-50163420,
-57819933,
-42506908,
-107238631,
-127059988,
-76490109,
-48282800,
-55652278,
-40913334
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-14165,
-16783,
-10103,
-6377,
-7351,
-5404,
-400565,
-474602,
-285711,
-180349,
-207874,
-152821,
-20673,
-24495,
-14747,
-9308,
-10728,
-7887
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-129766540.0,
-130250785.7,
-61730614.1,
-65922381.1,
-50838109.7,
-44633017.6,
-136280185.9,
-145682720.9,
-72711611.5,
-68715741.2,
-58397837.4,
-48677955.3,
-85509386.5,
-102850859.8,
-59268370.2,
-42380363.4,
-34219958.1,
-37302010.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-561592182.0,
-456454306.1,
144187310.3,
-269106308.8,
-318500909.5,
48179649.7,
-563716886.1,
-469199268.6,
139471598.1,
-267917817.9,
-331074332.9,
47291829.0,
-500937309.7,
-404260131.2,
188308103.4,
-239662026.8,
-289233661.5,
68871311.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GWM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-10768581,
-12758984,
-7680914,
-4848410,
-5588432,
-4108397,
-9660658,
-11446272,
-6890644,
-4349592,
-5013467,
-3685699,
-10009287,
-11859338,
-7139326,
-4506552,
-5194392,
-3818704
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_GLOBAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-22950980.8,
8342621.6,
51537237.6,
-8532236.0,
-36467864.1,
26845656.7,
-31841529.0,
13644799.3,
54206362.8,
-14135997.0,
-42233226.8,
28392727.7,
-37998271.4,
18594981.4,
57077272.0,
-19350452.8,
-37742268.0,
29832167.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-1424088,
-1687307,
-1015761,
-641177,
-739041,
-543314,
-1457217,
-1726559,
-1039390,
-656094,
-756232,
-555951,
-1419955,
-1682413,
-1012811,
-639317,
-736895,
-541736
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-35435787,
-41985529,
-25275291,
-15954502,
-18389664,
-13519338,
-38441369,
-45546646,
-27419081,
-17307725,
-19949430,
-14666018,
-26948137,
-31929075,
-19221303,
-12133050,
-13984935,
-10281163
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
2689664.0,
2001011.3,
-1360417.5,
8876202.5,
6468975.8,
646730.9,
141793.9,
-961944.3,
-2883474.7,
7298568.0,
5206876.5,
-317686.6,
207592.4,
-1210376.9,
-3250805.8,
9013234.2,
5733940.0,
-146127.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-33978117,
-40258435,
-24235576,
-15298201,
-17633196,
-12963209,
-35050754,
-41529334,
-25000659,
-15781144,
-18189852,
-13372449,
-32517736,
-38528121,
-23193928,
-14640685,
-16875316,
-12406052
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_GLOBAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-11712,
-13876,
-8354,
-5273,
-6078,
-4468,
-4274,
-5064,
-3049,
-1924,
-2218,
-1631,
-49,
-58,
-35,
-22,
-25,
-19
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-35303100.6,
-62517684.8,
-41802052.3,
8474706.0,
-14549407.8,
-23467934.0,
-37233079.8,
-64459876.2,
-42397294.8,
8018530.7,
-15116887.5,
-23708115.6,
-29164511.0,
-55010189.4,
-37746070.4,
12305078.6,
-10848830.9,
-21130424.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-40668,
-48184,
-29007,
-18310,
-21105,
-15515,
-41669,
-49371,
-29722,
-18761,
-21625,
-15898,
-44419,
-52630,
-31683,
-19999,
-23052,
-16947
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-60325359.6,
-72068737.7,
-44279897.5,
-27127198.1,
-31520574.0,
-23692960.7,
-61274132.7,
-73150043.8,
-44913283.3,
-27572904.2,
-31993381.2,
-24035910.5,
-57205092.2,
-68411880.1,
-42191283.1,
-25792333.4,
-29946359.9,
-22574043.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
4303838.5,
5437460.3,
2693727.5,
1610798.9,
2186297.7,
1333563.7,
5542561.6,
6953319.4,
3530072.8,
2126015.2,
2824791.4,
1766762.0,
6154553.9,
7722534.3,
3927962.3,
2365031.4,
3142543.5,
1966138.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-43894943,
-52008213,
-31308933,
-19763137,
-22779599,
-16746650,
-43724061,
-51805752,
-31187085,
-19686204,
-22690912,
-16681432,
-36581968,
-43343561,
-26092828,
-16470563,
-18984465,
-13956637
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
10282876.8,
29990534.3,
76124590.1,
258783.3,
21280015.2,
33535774.2,
-2545210.5,
25884862.2,
79103222.7,
-6058207.3,
16194465.4,
35027855.4,
-2795701.3,
32248603.5,
81119886.7,
-5633242.1,
20223600.1,
36492124.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GWM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-11801942,
-13983350,
-8417978,
-5313674,
-6124701,
-4502643,
-12579886,
-14905072,
-8972858,
-5663927,
-6528417,
-4799433,
-9528766,
-11290008,
-6796586,
-4290202,
-4945025,
-3635376
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LONG_TERM_ASSET_GROUP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-21772,
-25796,
-15529,
-9803,
-11299,
-8306,
-20419,
-24194,
-14564,
-9194,
-10597,
-7790,
-21873,
-25916,
-15601,
-9848,
-11351,
-8345
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL_SECURITIES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-68272964,
-80892139,
-48697068,
-30739013,
-35430758,
-26047267,
-71151039,
-84302183,
-50749912,
-32034825,
-36924357,
-27145301,
-78430530,
-92927171,
-55942162,
-35312317,
-40702098,
-29922542
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-20764622.7,
-19885512.6,
-3211184.7,
-8667856.8,
-15457566.8,
-2290860.8,
-22299317.1,
-21353953.0,
-3745290.2,
-9342631.7,
-16430052.1,
-2589354.8,
-25136021.1,
-26135002.2,
-8582797.1,
-10675009.4,
-16751227.7,
-5097757.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_GLOBAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
SystemicPnLSeries (
-763514.5,
-17432369.8,
-35451853.7,
12327106.6,
-13972178.1,
-16138356.6,
-3595445.1,
-20678847.1,
-37572528.3,
11133701.0,
-15466573.3,
-17261402.4,
1863662.0,
-18701871.3,
-38344291.0,
15136307.9,
-14492326.2,
-17312492.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
SystemicPnLSeries (
0.0,
36220293.5,
-68645747.6,
0.0,
0.0,
-40977220.6,
0.0,
36220293.5,
-68645747.6,
0.0,
0.0,
-40977220.6,
0.0,
36220293.5,
-68645747.6,
0.0,
0.0,
-40977220.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
SystemicPnLSeries (
0.0,
292049620.2,
355021458.5,
0.0,
0.0,
172336248.5,
0.0,
36220293.5,
-68645747.6,
0.0,
0.0,
-40977220.6,
0.0,
288142544.9,
311392116.7,
0.0,
0.0,
148639193.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
SystemicPnLSeries (
0.0,
-119554630.4,
-78725777.5,
0.0,
0.0,
-51121102.7,
0.0,
-117632646.5,
-59472301.0,
0.0,
0.0,
-40928831.8,
0.0,
-107888382.7,
-69258016.3,
0.0,
0.0,
-46303078.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
SystemicPnLSeries (
0.0,
-748731945.4,
-1936686153.0,
0.0,
0.0,
-1104323586.0,
0.0,
-761735036.0,
-1951934764.0,
0.0,
0.0,
-1113789153.0,
0.0,
-669322979.5,
-1853055398.7,
0.0,
0.0,
-1058276603.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-185571869.3,
-226573781.0,
-118993555.1,
-65694521.2,
-174854704.8,
-68205914.3,
-126748686.0,
-165188893.4,
-114780111.5,
-50906778.0,
-148415215.0,
-63609389.1,
-150712745.4,
-199624921.3,
-110888175.9,
-43221727.9,
-141467222.4,
-61508454.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
15527023.5,
-2729778.8,
-19117723.7,
83154634.2,
37223232.9,
-7647340.3,
15763609.1,
15116339.5,
20658668.7,
40292370.4,
13952408.5,
8214403.0,
-4946707.6,
25250511.5,
33099300.2,
25523554.9,
7616241.2,
11346775.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-4538030.6,
-4674469.9,
-2831747.2,
-2564725.0,
-3073438.7,
-1632732.3,
-4887032.8,
-4834248.1,
-2782402.8,
-2843977.5,
-3198487.2,
-1676559.0,
-3043250.6,
-3344710.2,
-1924003.5,
-1694907.0,
-1905147.2,
-1206008.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-11608846.8,
5077525.5,
1540266.3,
-12951030.1,
-3215681.4,
1083786.2,
-11309675.9,
4566632.8,
1415729.3,
-12630062.3,
-3227652.9,
1005590.4,
-11997100.1,
4759220.2,
1350053.9,
-13330114.0,
-3474287.5,
1001095.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-2287735.9,
-3757057.1,
-7266387.3,
-5576691.9,
-2873682.6,
-3756013.3,
-2654335.5,
-4485852.8,
-8028249.0,
-5621076.3,
-3563414.7,
-4149710.0,
-3597693.0,
-3592720.3,
-6312198.3,
-7636750.1,
-4626917.1,
-3236439.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-29184692.5,
-26334771.4,
-20503806.5,
-16798451.4,
-20465948.6,
-10757541.5,
-8843174.9,
-8548310.3,
-16592507.0,
-7436316.0,
-5036481.5,
-8984890.7,
-9797047.6,
-3483291.0,
-6084978.7,
-8379474.1,
-10752624.3,
-3940548.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-155638323.9,
-149748990.9,
-84018224.6,
-79726235.4,
-98511208.3,
-48750128.2,
-187216631.2,
-189810062.0,
-112417230.2,
-91410070.9,
-107576633.7,
-62257203.3,
-113043689.4,
-94085783.5,
-49832232.6,
-56201945.9,
-65496382.1,
-28360517.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
124079216.7,
188574625.3,
98271951.2,
7099071.5,
90662037.9,
2756949.3,
149454708.5,
211174792.6,
102319719.4,
48602240.5,
112055165.2,
39552553.8,
90388025.4,
138432921.9,
77006722.9,
28727510.5,
64612760.6,
17894502.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_UNDERWRITING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-75570.3,
-75055.4,
-127138.0,
72986.7,
-37181.9,
-30086.1,
-86263.5,
-88499.6,
-141294.5,
65346.8,
-49160.2,
-38228.2,
-76286.0,
-75541.3,
-127986.1,
73449.1,
-37433.9,
-30250.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-5817783.2,
5079932.9,
3503857.0,
-15743361.3,
-6361852.4,
2379811.1,
-2984412.5,
2716255.4,
807167.1,
-5423735.7,
-2788349.0,
748226.6,
-3845035.6,
3421231.9,
1577207.9,
-9703261.5,
-3610749.9,
1258036.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
55871148.8,
-30894010.8,
11084652.3,
84351583.8,
-3706573.5,
2275592.2,
67056238.7,
-33313791.2,
6268985.6,
96290771.1,
-1063697.8,
-543944.0,
68272617.4,
-43119531.2,
7818035.6,
79391468.9,
5682948.0,
1673850.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
39190324.0,
35846119.5,
32838633.9,
29408571.7,
21259787.5,
21777689.8,
68993466.9,
19909359.9,
-23896796.6,
83534629.9,
83719894.1,
-11328843.8,
33682693.3,
1831032.7,
95294122.6,
67511366.4,
43264169.3,
36799513.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-1797712.9,
-1476200.0,
-742818.0,
-1130878.2,
-904534.9,
-358799.6,
-1902049.1,
-1553521.6,
-778184.3,
-1192660.6,
-965562.8,
-376106.4,
-1900853.4,
-1450106.9,
-718889.0,
-1244442.1,
-971920.1,
-344765.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-46345749.0,
46536551.0,
-56436798.6,
32147913.8,
-9436012.6,
-7441103.4,
-338332437.1,
3559815.4,
-22330714.8,
-95327219.6,
-309420381.7,
16699437.1,
-237518342.0,
-165671328.9,
-226479230.2,
2666611.6,
-189193519.2,
-62693397.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-11989285.2,
-17613662.9,
-14650485.7,
-5247516.1,
-2645585.3,
-7475025.6,
-15142797.6,
-24645936.2,
-20725331.6,
-6141524.6,
-4081504.6,
-10058970.2,
-18192269.3,
-25784980.6,
-21013064.1,
-8547207.9,
-6036922.1,
-10890916.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PRIME_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-10528192.1,
-19130674.8,
15058018.0,
-9200521.7,
4497370.7,
6371432.8,
-9535974.1,
-19839072.8,
14929877.1,
-8192639.9,
4748268.3,
6269210.7,
-23157194.2,
-34627315.1,
36651706.6,
-22051173.2,
11072121.6,
15486924.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
3891991.8,
3650025.9,
4454190.3,
-1349125.4,
1308257.4,
1957477.4,
8305922.5,
9633785.5,
7202565.9,
2703176.2,
2835787.0,
2278303.1,
9176960.9,
12338334.8,
10333069.0,
6518449.9,
4902628.8,
3352399.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RISK_TREASURY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
10522883.5,
-13087514.0,
-37085489.9,
14711662.6,
29658473.5,
-17634240.4,
8164046.7,
-5895109.0,
-36314808.5,
5308425.2,
30527673.3,
-17100873.1,
5577807.5,
-10296999.1,
-13688041.0,
13644474.9,
5476655.2,
-6098828.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
12091423.6,
-8068888.4,
2680948.5,
5739376.6,
-6672707.1,
-2737873.7,
20504036.5,
33989245.5,
73601088.5,
19175668.2,
67950032.4,
36980604.6,
-17220540.7,
24225295.1,
57186876.8,
-29937126.7,
12611892.1,
21869417.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CLP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
332493429.7,
-23380848.1,
-103862002.7,
644837150.8,
190871837.5,
-23763838.0,
274069005.2,
20108271.9,
18818413.2,
475798994.2,
129254024.8,
15853610.2,
362278355.2,
30807782.7,
109577060.1,
872039262.8,
265876830.7,
17144189.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-12219402.7,
-14842621.8,
-8247812.6,
-5928973.8,
-8079754.2,
-4190615.7,
-16910338.7,
-18513046.0,
-10730256.2,
-8441093.5,
-11132134.7,
-5512845.0,
-11538067.9,
-13688544.1,
-8970925.1,
-4968562.7,
-8127875.4,
-4468856.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
68417713.8,
81403362.6,
18995868.9,
17201434.1,
30537261.3,
2749468.2,
-95478242.1,
-106776577.5,
-54583827.6,
-34005698.6,
-34704345.6,
-27665440.0,
22126359.3,
18141186.0,
1821682.6,
20981715.5,
30749640.3,
5974529.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
18973324.8,
38109338.2,
23035609.3,
3850597.8,
11246439.4,
9626723.9,
64501129.5,
88217068.7,
84445344.0,
43175565.7,
53757200.2,
46648080.1,
20298509.5,
36879263.3,
29819086.6,
9415431.3,
21594625.5,
13038525.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
384472647.1,
406145255.9,
412373716.7,
150277790.8,
266744093.2,
161634760.0,
491300492.2,
381842877.8,
207652644.6,
164638592.0,
344258851.7,
108900483.1,
462378647.0,
504277664.9,
437406963.6,
161341548.2,
373034490.2,
185048454.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_UNDERWRITING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-1537394.1,
-2773763.9,
-2936889.8,
-972486.5,
-2198309.7,
-1598270.2,
-7587959.0,
-9477534.1,
-10696174.3,
-5381250.3,
-8831211.2,
-6001410.3,
-3358310.6,
-4203867.5,
-4712637.6,
-2351022.7,
-3892150.3,
-2653420.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-18164070.2,
13362745.9,
-5180680.8,
-26629516.2,
1126374.5,
-1513790.5,
-12990031.8,
9343798.2,
-5841166.9,
-20830336.9,
2131880.0,
-2006753.9,
-13625305.1,
10145706.1,
-4651957.3,
-21906685.7,
3020711.2,
-1427381.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
138148454.4,
196143407.4,
237027929.4,
59434930.3,
128927267.3,
66854461.8,
448483865.4,
531179900.2,
455530801.8,
251959547.7,
284672713.7,
137496473.3,
76258644.6,
364780379.0,
233721638.7,
-75387883.8,
180444738.8,
62507945.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-97885140.7,
-52184779.6,
-83784747.4,
-71630795.9,
127433635.7,
4938582.8,
13644922.6,
-38380990.0,
-203861232.2,
75497853.6,
-21178938.7,
-35544862.2,
109597031.1,
-115652731.0,
-566714680.3,
178940450.1,
174738194.9,
-133241129.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
27784227.7,
18343745.4,
3330345.0,
11291549.2,
4742945.7,
78040.3,
1413865.0,
-550843.7,
-719909.2,
1326222.2,
815504.6,
-207009.8,
1451881.0,
-1532388.3,
-1618661.0,
1858603.8,
256087.3,
-804848.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.IG_BONDS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-12815.8,
7050.5,
15403.0,
-10760.5,
-13616.5,
8426.4,
-17309.0,
9096.2,
21710.5,
-14003.9,
-19547.9,
11931.9,
-67.2,
-3004.1,
4929.0,
4388.8,
-7042.8,
2830
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOAN_PORTFOLIO_MANAGEMENT +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
11218619.9,
45050572.8,
128929732.6,
-56943227.9,
-5866405.7,
38565245.0,
106054081.8,
173330200.1,
327365468.5,
-157112747.6,
103920820.4,
93604750.0,
95306261.8,
42382357.5,
125628140.9,
-64898962.6,
74200349.8,
28109635.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
32486.3,
-27583.2,
-113961.4,
8173.1,
83094.2,
-46238.2,
68500.8,
14075.9,
-85581.8,
24685.7,
103772.6,
-31676.8,
32807.1,
-4577.0,
-102377.4,
8268.2,
100868.4,
-51314.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OS_B +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
97068.0,
-140486.1,
-284088.7,
190090.1,
-78748.3,
-107827.2,
161375.7,
-221049.4,
-372761.8,
254835.6,
-102447.0,
-149498.3,
155065.3,
-183490.2,
-428743.0,
292477.6,
-117894.5,
-170611.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_GLOBAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-17168.7,
-24763.8,
-1579.1,
1193.0,
-415.6,
-801.9,
0,
0,
0,
0,
0,
0,
-118612.3,
-141986.6,
-178767.2,
104651.2,
-51954.1,
-45331.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-32604248.9,
-32467556.8,
-21763710.0,
-16716638.8,
-17586967.7,
-13706762.1,
-45628665.1,
-48406463.5,
-29264651.8,
-23902190.1,
-24728065.6,
-19174289.5,
6693783.4,
7573845.8,
830563.6,
4455133.2,
6296683.6,
1993938.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PRIME_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-11166229.6,
-15798593.9,
-38232598.9,
-17553133.3,
-54005680.6,
-21565703.0,
-2982541.9,
-7805001.7,
-15473322.2,
-4937898.1,
-20288154.7,
-8611970.6,
2192417.9,
-2388329.2,
-2370738.2,
3212533.3,
-134169.8,
-1087398.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RISK_TREASURY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-81336991.2,
30714433.9,
31160927.5,
-90707426.7,
-59393143.5,
17881849.6,
-92281528.6,
33534517.2,
25788702.4,
-102195736.6,
-61150928.0,
15375980.5,
-75170708.6,
18820929.7,
-3181541.5,
-84164014.1,
-43714383.2,
659463.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-104407563.0,
-128221300.4,
-82014879.4,
-44242668.3,
-59213988.2,
-39310976.3,
-119446476.5,
-149099236.1,
-98725624.7,
-51161133.5,
-68628676.2,
-48161689.1,
-131660150.8,
-157930890.8,
-98459547.7,
-56746823.7,
-74970599.3,
-47561722.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SHORT_TERM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-1547446.3,
446342.3,
356485.0,
-1104158.9,
-430735.0,
192597.5,
-1234808.3,
612046.9,
424315.0,
-932938.0,
-305575.0,
225091.1,
-2243336.6,
1134587.4,
768787.0,
-1672545.2,
-543992.5,
407635.5
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CARDS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-6756230.2,
-6756230.2,
-4745447.6,
3330138.6,
-1290024.4,
-2028588.4,
-6747461.8,
-6747461.8,
-4739288.8,
3325816.6,
-1288350.2,
-2025955.6,
-6343512.3,
-6343512.3,
-4455562.4,
3126710.3,
-1211220.7,
-1904668.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-2458228.9,
-1677411.5,
2400294.4,
548583.7,
1728209.1,
46945.4,
828959.1,
1213179.3,
6808666.1,
-2074280.1,
3200058.2,
1108149.8,
-9982370.1,
-9884902.8,
-5108252.4,
2348895.1,
-2499723.2,
-2365832.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-9488.6,
21214.8,
14684.8,
-10918.3,
4296.7,
6363.9,
-9619.9,
21527.2,
14943.3,
-11095.3,
4347.6,
6469.5,
-9787.4,
21947.3,
15307.9,
-11254.8,
4418.7,
6631.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-58674541.8,
-71239729.6,
-55144590.1,
-31848756.4,
-39430137.5,
-28721029.9,
-79674835.6,
-94279695.1,
-72380434.6,
-43099295.8,
-54123256.7,
-38594542.3,
-50855800.5,
-62854618.5,
-53722556.8,
-29232518.0,
-37236686.0,
-29041060.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-15637534.0,
-18324843.8,
-7116912.0,
5843391.5,
-2953868.8,
182765.5,
-16938482.6,
-19322180.8,
-9167703.0,
3776185.5,
-5298699.4,
-1567847.3,
-9490612.2,
-9620444.1,
-3210086.9,
6606317.6,
679548.2,
1884827.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-2460.1,
-5630.5,
-4254.3,
-5092.7,
-3786.7,
-3240.4,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-45897572.8,
-31381402.7,
-22416121.7,
-69395684.5,
4060396.5,
-19899635.9,
-298847370.8,
-225503655.0,
-355876495.0,
91972347.4,
-112406258.4,
-98420276.6,
-138793883.6,
-158856561.6,
-123917116.7,
-42598357.4,
-59546908.4,
-38339708.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_CONSUMER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-0.2,
0.0,
-0.1,
0.0,
-0.1,
0.0,
-0.2,
0.0,
-0.1,
0.0,
-0.1,
0.0,
274.7,
273.0,
462.4,
-265.5,
135.3,
109.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-3196102.3,
-3196102.3,
-2244881.5,
1575355.4,
-610259.0,
-959644.1,
-2927331.4,
-2927331.4,
-2056101.9,
1442878.6,
-558940.3,
-878944.4,
-3473179.2,
-3473179.2,
-2439495.1,
1711926.4,
-663163.7,
-1042837.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.AI +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
1425329.1,
-1787289.7,
-2776615.3,
1948501.9,
-754808.0,
-1186950.1,
1396229.8,
-1750105.7,
-2719928.3,
1908721.6,
-739397.9,
-1162717.5,
1391924.7,
-1743981.0,
-2711541.6,
1902836.2,
-737118.0,
-1159132.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CAI +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-2711570.2,
3758703.8,
481279.2,
-337739.8,
130833.2,
205737.7,
5750125.7,
-6672722.1,
-8177423.4,
5738542.6,
-2222988.6,
-3495692.6,
5744473.3,
-6660977.0,
-8188909.4,
5746602.9,
-2226111.0,
-3500602.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
2649666.4,
-35729212.5,
-28300760.3,
6857015.9,
-12398378.2,
-7079138.0,
-19002493.2,
-23967765.6,
-25615310.5,
-16403702.1,
-20202478.3,
-8348839.4,
-3499992.2,
-37102931.8,
-21390970.2,
-2212445.8,
-13026403.3,
-11398180.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CLP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-80375881.7,
-57369466.6,
-120102624.6,
122149350.0,
17008334.1,
-50167741.3,
40367174.1,
-90561875.5,
-141054808.0,
219984854.8,
64961918.8,
-58777665.4,
23239309.5,
-63379619.1,
-144389711.9,
249063067.0,
82037810.5,
-65333440.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-22125024.6,
-21441667.0,
-10804065.8,
-11803837.2,
-14780893.6,
-5586773.4,
-19030250.7,
-18045497.6,
-8458751.3,
-9978115.8,
-11710609.8,
-4374819.0,
-20392288.9,
-19365949.1,
-9461952.7,
-11082549.1,
-13731325.6,
-4979861.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_MACRO_HEDGE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
220721109.9,
271293953.6,
151365921.7,
90330173.9,
120813093.6,
75741779.4,
278813100.0,
345280186.1,
190002300.7,
108577430.6,
148872104.5,
89738165.2,
308267347.3,
394434889.0,
202855222.8,
117427766.1,
158474673.4,
98877322.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
30057238.4,
32384172.7,
8379269.1,
9364975.5,
11969073.2,
1813313.4,
28945379.8,
31328675.8,
7380177.7,
8687205.9,
11594124.7,
1297403.1,
32767678.6,
37389767.0,
11530532.3,
11076416.3,
12847952.8,
3372123.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-289441891.6,
-358555827.2,
-249161791.7,
-130165302.6,
-171589920.8,
-127991710.3,
-306928140.7,
-356134432.6,
-257518946.9,
-148506429.6,
-198600563.7,
-136606461.9,
-305257322.1,
-376710927.8,
-235263087.1,
-126511422.4,
-187678315.4,
-116232670.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-14525479.6,
-18088101.8,
-11860124.4,
-7310434.5,
-9180272.4,
-6778879.6,
-12943176.7,
-14143518.1,
-11113999.8,
-9480274.2,
-11172198.6,
-7171856.9,
-12045158.9,
-10860099.1,
-10188189.0,
-10663008.4,
-12688735.5,
-6963414.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITIES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-109802.3,
-137254.4,
-146445.7,
-73374.7,
-121099.0,
-82505.1,
-109802.3,
-137254.4,
-146445.7,
-73374.7,
-121099.0,
-82505.1,
-109802.3,
-137254.4,
-146445.7,
-73374.7,
-121099.0,
-82505.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
334954858.5,
314657153.7,
337239514.3,
229174260.7,
355487564.7,
241877820.5,
568554528.6,
689500954.7,
681257169.9,
314080145.5,
590419639.7,
336297910.4,
429955662.1,
581281183.9,
561736436.6,
229440354.7,
454334661.9,
231490959.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-56226674.7,
46939949.8,
18300613.0,
-59993323.0,
-13839177.9,
11014765.8,
-43488247.2,
36831445.8,
14590446.9,
-45834513.6,
-10346032.3,
8901517.8,
-28749676.1,
21628984.5,
3645605.3,
-31263913.4,
-2902934.5,
2745584.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
5723195.4,
15559137.2,
28336485.5,
-5769831.0,
11688661.6,
10579898.2,
26173450.4,
-34555.5,
12508565.2,
17458157.3,
15046835.2,
3768172.6,
694739.3,
3161060.4,
15264728.9,
-779042.2,
5993986.3,
5511874.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-374540198.4,
-19443725.1,
-255156824.9,
-406301743.7,
264767757.0,
91108589.2,
-550261620.6,
-247688010.5,
-681674425.2,
-569730966.6,
- 35445852.3,
-182016921.7,
-283142676.8,
-220745583.8,
-203187776.2,
-191963200.5,
-688755721.9,
-26733085.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GLOBAL_SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-418937.1,
-498732.2,
-311713.8,
-187028.3,
-249371.1,
-155856.9,
-437265.7,
-520552.1,
-325351.3,
-195210.8,
-260281.1,
-162675.6,
-476814.4,
-567633.7,
-354777.3,
-212866.4,
-283821.9,
-177388.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-244.2,
178.6,
75.9,
-309.9,
-50.1,
45.1,
-58.8,
-151.9,
-3.4,
79.4,
30.3,
-5.6,
-235.4,
175.0,
78.6,
-305.3,
-55.1,
46.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.GWM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
39964.1,
39964.1,
13572.7,
13572.7,
13572.8,
13572.7,
41737.6,
41737.6,
14175.0,
14175.0,
14175.1,
14175.0,
42002.8,
42002.8,
14265.1,
14265.1,
14265.1,
14265.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.IG_BONDS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-318242.8,
-973575.4,
-810200.5,
-100946.9,
-375354.9,
-434824.8,
81777.4,
-587489.8,
-433923.6,
190734.4,
-17589.8,
-220812.3,
287568.0,
-342419.7,
-445286.6,
179883.0,
-34234.6,
-270769.2
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LEVERAGED_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
1815451.8,
1654808.8,
1348593.0,
1274698.5,
1651070.5,
783447.9,
92755993.2,
131299254.0,
45742241.1,
18419488.8,
31314451.8,
12214699.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.LONG_TERM_ASSET_GROUP +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
5433419.0,
5478111.4,
4965400.9,
3246098.2,
4549457.4,
2470654.5,
7260901.0,
7587477.9,
6239858.3,
4057619.9,
5603415.0,
3107068.7,
4209082.9,
3879637.3,
3912999.3,
2708571.0,
3776987.3,
1942857.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL_SECURITIES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
133564.8,
-100166.6,
-59236.0,
105466.3,
22889.0,
-31171.6,
-268014.3,
157849.6,
1247144.3,
126534.5,
-1270223.3,
677822.3,
-114738.5,
50699.2,
1090043.1,
224781.1,
-1144591.3,
593808.0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-228659584.8,
-196486300.6,
-121209228.9,
-117621295.5,
-220172894.6,
-59092154.6,
-248623518.8,
-194535775.4,
-128951051.8,
-136687561.4,
-220025434.4,
-61686834.9,
-291567858.2,
-244088371.4,
-147000405.2,
-145440170.6,
-270332396.3,
-68696555.3
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OS_B +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
24839.9,
-14618.3,
-16315.9,
22857.3,
22300.0,
-8479.8,
25528.2,
-14881.4,
-17246.1,
23321.4,
23341.9,
-8939.0,
0,
0,
0,
0,
0,
0
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_GLOBAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
0.3,
-13.6,
-13.6,
-2.9,
-2.9,
-3.0,
-2.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_SPECIAL_ASSET_POOL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
7972525.2,
8944458.8,
4373435.0,
3200643.4,
3816054.4,
2344420.2,
8400790.9,
9430113.1,
4613140.0,
3372428.6,
4022535.3,
2473135.9,
8797353.9,
9861829.6,
4844913.6,
3547604.6,
4228314.2,
2597299.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.OTHER_BAM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-542950.7,
532350.4,
1057696.2,
-742242.9,
287529.1,
452145.0,
-550598.2,
539848.6,
1072593.9,
-752697.4,
291578.9,
458513.4,
-558739.2,
547830.7,
1088453.1,
-763826.7,
295890.2,
465292.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-60008499.7,
-36156495.7,
-39600396.2,
-42645963.6,
-43681445.1,
-16883596.0,
-71634634.8,
7016165.0,
-95166114.9,
-72036117.2,
-85548973.9,
-39686589.9,
-291997098.1,
-256229397.0,
-246534263.7,
-171168114.6,
-212433313.0,
-122129366.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PRIME_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
9113393.9,
-10726377.1,
-15321539.3,
12591308.4,
-4234509.0,
-7327857.2,
6756778.8,
-7302741.1,
-11651829.1,
9234920.2,
-3236010.9,
-5465091.5,
5036207.2,
-5899894.3,
-8740798.6,
6816660.8,
-2474701.4,
-4107831.1
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.PROJECT_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-33103.8,
-39415.1,
-24619.4,
-14771.7,
-19695.6,
-12309.7,
-33695.9,
-40119.9,
-25059.9,
-15036.0,
-20048.1,
-12530.0,
-33624.8,
-40035.3,
-25007.1,
-15004.3,
-20005.8,
-12503.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RATES_AND_CURRENCIES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
17212202.9,
-3292471.2,
-5125062.1,
13709702.5,
2530318.3,
-757033.2,
11716479.6,
-3904663.2,
-7065535.9,
9360911.8,
1416685.3,
-1766558.9,
12959550.8,
-9776633.9,
-12998430.1,
13347218.6,
-5540844.3,
-3442553.4
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.REAL_ESTATE_LENDING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
2513429.6,
-1528828.1,
-5209545.7,
1567627.5,
4955646.6,
-2639245.5,
2625001.0,
-1602511.4,
-5420582.8,
1645263.3,
5157240.7,
-2746435.9,
2424624.8,
-1482794.7,
-5016285.8,
1517414.5,
4764381.6,
-2541720.9
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RETAIL_BANKING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
6859421.8,
23502740.6,
43606944.6,
3398379.2,
-7668783.2,
21926341.5,
8431391.8,
23612558.4,
47205822.8,
5859928.3,
-9924734.9,
23655124.3,
-9307473.5,
5809414.4,
28363080.5,
-3761010.8,
-26900469.8,
14234593.8
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.RISK_TREASURY +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
25934192.7,
-74265458.4,
-278371879.4,
-10594539.7,
155775592.2,
-129776427.4,
140814902.9,
-118779659.8,
-287405715.8,
96035343.7,
258208100.8,
-142850176.7,
163751025.7,
-131724028.9,
-311056741.3,
108410626.2,
285851516.6,
-155018974.6
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-1061552629.0,
-1236403925.0,
-968435450.8,
-512397553.6,
-619106569.7,
-482345905.6,
-1063204514.0,
-1251004883.0,
-988367855.9,
-526080829.1,
-632538589.6,
-499921368.8,
-1137011426.0,
-1345834287.0,
-1021592130.0,
-552729380.3,
-695358253.8,
-516399507.7
),
null
))
{
return false;
}
if (!capitalUnitStressEventContext.addSystemic (
org.drip.capital.definition.Business.SHORT_TERM +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
SystemicPnLSeries (
-1814110.8,
761165.0,
561956.4,
-1313913.9,
-493731.3,
299743.4,
-4375943.1,
1986961.4,
1600544.3,
-3190657.7,
-1331016.2,
850166.0,
-3383940.0,
-147436.9,
263666.9,
-2117711.8,
-1228893.3,
159247.5
),
null
))
{
return false;
}
return true;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return false;
}
private static boolean LoadIdiosyncratic (
final org.drip.capital.shell.CapitalUnitStressEventContext capitalUnitStressEventContext)
{
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Idiosyncretic Incremental Default Risk",
0.02,
-231900000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Tenor Risk",
0.02,
-1580000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Tenor Risk",
0.02,
-4890000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Italy Hedge Bond/CDS Basis Risk",
0.02,
13166000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR APAC - Japan - Citibank Japan Ltd",
0.02,
-34082147.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR APAC - Korea",
0.02,
-85344939.8
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - Germany ROSE",
0.02,
-42327082.1
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - UK Citi",
0.02,
-72032435.1
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - Netherlands",
0.02,
-30992203.3
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - UK PLAS",
0.02,
-90287300.3
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - UK Medical",
0.02,
-43587451.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - Greece",
0.02,
-60622136.1
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - CEP Small Plans",
0.02,
-7785565.6
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - Swiss",
0.02,
-72800192.7
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR EMEA - German PRS",
0.02,
-7303489.2
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR LATAM - Mexico",
0.02,
-178766482.5
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR LATAM - Mexico Medical",
0.02,
-126936078.6
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR LATAM - Brazil",
0.02,
-79868049.2
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR NAM - US",
0.02,
-1612493729.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR NAM - Small Plans",
0.02,
-110114233.4
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR NAM - US OPEB",
0.02,
-8510162.6
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR NAM - US Medical",
0.02,
-67068668.1
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR NAM - US Non-Qualified",
0.02,
-76737617.9
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CORPORATE_CENTER +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.PENSION,
"Pension VaR NAM - Canada",
0.02,
-2607881.8
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.PRIME_FINANCE +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"CNY/CNH spread",
0.02,
-595000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Received DTIBOR vs ZTIBOR (mostly 1.5Y-4Y)",
0.10,
-650000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Non-recourse margin financing - APAC",
0.02,
-55800000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Derivs discounting placeholder for process risk",
0.02,
-25000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asian cross ccy basis risk.",
0.05,
-3126762.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Swaps JPY Libor paid JSCC vs received LCH Basis (include bilateral)",
0.02,
-1470000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asia bond swap spread risk.",
0.05,
-12390000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Stress P&L for vanilla swaption skew. The calculation is based on strike vol time series and a portfolio of vanilla swaptions that replicate the trading books' SABR skew risk.",
0.10,
-4600000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"3M6M JPY basis Libor paid JSCC vs received LCH Basis (include bilateral)",
0.02,
-2200000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asia NDF implied DV01 risk.",
0.05,
-59768500.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"TONAR basis paid JSCC vs rec LCH Basis (include bilateral)",
0.02,
-1350000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Exotic risks from autocallables positions. Potential stress loss arising from large Market Sell-off across markets and drive up in correlation of multi-underlying trades",
0.20,
-9000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Binary write down risk inherent in AT1 instrument",
0.00,
3000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"FX risk on lifetime earnings and price risk on tbills subject to churn requirements ¿ does not include credit (no repayment) cross-border event",
0.05,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Long/short single stock portfolio",
0.02,
-22300000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"SWWR on Egypt Reverse Repo trade. Assumes default of counterparty (also obligor of collateral). We assume 55% recovery on collateral notional. If this PnL is greater than losses in GSST (fulreval on CR01/IR01 exposure) then we take the difference to be Top 10 risk. ",
0.00,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Concentration Risk",
0.02,
-24900000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Finance desk TRS vs Cash basis",
0.02,
-55000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Mortality and Lapse Risk (Stress Limit)",
0.02,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_UNDERWRITING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"ECM - CB Notional",
0.02,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_UNDERWRITING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"ECM: Block trade",
0.02,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Cross border exposures in EGP FX mainly in London Hub",
0.05,
-46389724.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Exposures in pegged and managed Middle Easters ccys (notably AED and SAR).",
0.05,
-30865543.2
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Non-recourse margin financing - EMEA",
0.02,
-75000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Repo Basis - Finance Desk",
0.02,
-79000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Derivs discounting placeholder for risk to collateral assumption updates",
0.02,
-40000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Event Risk",
0.01,
-600000
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_UNDERWRITING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"ECM: Rights Issue",
0.02,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"EM NY HUB: FX Off-shore/onshore BRL spread (offshore FX forward points traded as a spread to the onshore FX points).Captured in VAR GSST doesn't capture spread risk",
0.02,
-425503.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"EM NY HUB: DI Off-shore/onshore BRL Basis mainly from interest rate swaps - DI future contracts (DI One-day interbank deposit rate) . Captured in VAR GSST doesn't capture spread risk",
0.02,
-2099361.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"SWWR on Argentina Reverse Repo trade. Assumes default of counterparty (also obligor of collateral). We assume 40% recovery on the claim if this loss is greater than the GSST stress loss (fulreval on CR01/IR01) then the difference will be Top 10 risk. $bn",
0.00,
-2600000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"EM NY HUB CLP cross currency spread/basis",
0.02,
-2282800.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Banamex: MXN bond swap rate basis mainly coming from interest rate swaps (IBR) to hedge securities (GOV)",
0.02,
-11954300.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"MXN cross currency spread/basis.",
0.02,
-5957644.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"EM NY HUB COP cross currency spread/basis",
0.02,
-220800.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Mexico - ICG Business is actively trading on FX market given current market volatility",
0.10,
-11971045.8
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.LOCAL_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Banamex: Off-shore/onshore EM US Spread coming from Agency bonds (Pemex)",
0.02,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"CMM vs TBA - mismatched convexity + supply/demand (10bp and 5bp)",
0.02,
-25200000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Spread vega Long/Short",
0.02,
-420000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"TIPS Real Curve / BEI",
0.02,
-500000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Idiosyncratic Risk for Puerto Rico ¿ Recent legislation changes which allow restructuring of the three local entities (PREPA/PRASA/Transportation) resulted in an average 20 point drop across all PR positions.",
0.01,
-22523746.6
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Event Risk",
0.01,
-10673000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"SOFR/OIS Spread",
0.1,
-1504000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Non-recourse margin financing - AM",
0.02,
-96600000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"OTR/OFR Spread",
0.10,
-2500000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Spread Vega Skew",
0.02,
-139600000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Long/short single stock portfolio (quant)",
0.02,
-15060000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Inflation 2FHW parameters",
0.02,
-2800000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Stress P&L from DCF trades where underlying M&A trade doesn¿t complete and adverse move in spot for underlying M&A related trades.",
0.01,
-39000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"US Treasury STRIPS basis",
0.02,
-6468000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Sensitivity to jumps and turns in curve construction",
0.05,
-5640000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Illinois - Increased credit risk due to fiscal and pension liabilities",
0.10,
4316710.3
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Derivs discounting placeholder for risk to collateral assumption updates",
0.02,
-25000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Stress P&L for vanilla swaption skew. The calculation is based on strike vol time series and a portfolio of vanilla swaptions that replicate the trading books' SABR skew risk.",
0.10,
-12700000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"dVega/dRate as per tier3",
0.02,
-44000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Bermudan peak market discount",
0.02,
-52200000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Base rate basis OIS basis and money market basis",
0.03,
-10000000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Short Pass thru TBA option gamma",
0.10,
0.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Short ZC inflation vega / gamma and cross-effects (RNIV item)",
0.10,
-10500000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.CASH +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Long/short single stock portfolio",
0.02,
-6090000.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.COMMODITIES_HOUSTON +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Loss of Correlation across the Board",
0.02,
-67349070.2
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Agency RMBS - GSE reform changes to underwriting standards and streamline refinance programs would cause most Agency RMBS priced at a premium. Change by FHFA which would increase refinancing of existing loans. Fed rate guidance continued watched.",
0.10,
-63935400.
))
{
return false;
}
if (!capitalUnitStressEventContext.addIdiosyncratic (
org.drip.capital.definition.Business.G10_FX +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Intramonth downside spot gamma stress impacts on any given ccy pair where expiries or peaks in exposure may be larger or different than at m/end. 200mm loss indicator over +-10% range is used daily in reporting but there could be circumstance where individual pair has exposure greater than this particularly in USD pairs given size of options franchise. This type of spot gamma risk captured in var/svar to 2.3SD/6SD so BSST reflects possibility of further gamma due to wider or more complex moves.",
0.01,
-152000000.
))
{
return false;
}
return true;
}
private static boolean LoadCorrelated (
final org.drip.capital.shell.CapitalUnitStressEventContext capitalUnitStressEventContext)
{
try
{
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Mgmt Option Flow Vol Option & CMS book cross-gamma placeholder",
SystemicPnLSeries (
0.,
-2725000.,
0.,
0.,
0.,
0.,
0.,
-3275000.,
0.,
0.,
0.,
0.,
0.,
-4000000.,
0.,
0.,
0.,
0.
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asset/asset correlation",
SystemicPnLSeries (
-16000000., // 1974 Baseline
-20000000., // 2008 Baseline
-19000000., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
-11000000., // Lost Decade
-18400000.00,
-23000000.00,
-21900000.00,
0.00,
0.00,
-12700000.00,
-24800000.00,
-31000000.00,
-29500000.00,
0.00,
0.00,
-17100000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Structured credit desk holds short-term bond options. BSST shock on vol bumps",
SystemicPnLSeries (
0., // 1974 Baseline
0., // 2008 Baseline
0., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
0., // Lost Decade
0., // 1974 Baseline
0., // 2008 Baseline
0., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
0., // Lost Decade
0., // 1974 Baseline
0., // 2008 Baseline
0., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
0. // Lost Decade
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"PRDC book cross-gamma/correlation placeholder",
SystemicPnLSeries (
0., // 1974 Baseline
-7500000, // 2008 Baseline
0., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
0., // Lost Decade
0., // 1974 Baseline
-5000000., // 2008 Baseline
0., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
0. , // Lost Decade
0., // 1974 Baseline
-5000000., // 2008 Baseline
0., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
0. // Lost Decade
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asset/FX correlation",
SystemicPnLSeries (
-480000., // 1974 Baseline
-600000., // 2008 Baseline
-570000., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
-330000., // Lost Decade
-480000.00,
-600000.00,
-570000.00,
0.00,
0.00,
-330000.00,
-480000.00,
-600000.00,
-570000.00,
0.00,
0.00,
-330000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"India Credit Trading desk holds INR LCY corporate bonds. GSST shocks were calibrated based on FCY shocks. Adjustments to capture difference on referencing onshore corporate bond spreads.",
SystemicPnLSeries (
16450600., // 1974 Baseline
19800000., // 2008 Baseline
11100000., // Deep Down-turn
0., // Dollar Decline
8522600., // Interest Rate Shock
4558600., // Lost Decade
19300000.00,
23200000.00,
13000000.00,
0.00,
9976000.00,
5336000.00,
12800000.00,
15400000.00,
8624000.00,
0.00,
6622000.00,
3542000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Dividend Risk",
SystemicPnLSeries (
-20000000., // 1974 Baseline
-25000000., // 2008 Baseline
-23800000., // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
-13800000., // Lost Decade
-14000000.00,
-17500000.00,
-16600000.00,
0.00,
0.00,
-9625000.00,
-16800000.00,
-21000000.00,
-20000000.00,
0.00,
0.00,
-11600000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"CB vs. CDS basis: Net CR01 from CB trading desks is currently small; however there is significant exposure to widening of the basis of CB vs CDS spreads.",
SystemicPnLSeries (
-1276515.9, // 1974 Baseline
-1595644.9, // 2008 Baseline
-957386.9, // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
-558475.7, // Lost Decade
-1336680.00,
-1670850.00,
-1002510.00,
0.00,
0.00,
-584797.50,
-839381.00,
-1049226.30,
-629535.80,
0.00,
0.00,
-367229.20
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Skew",
SystemicPnLSeries (
-2640000, // 1974 Baseline
-3300000, // 2008 Baseline
-3135000, // Deep Down-turn
0., // Dollar Decline
0., // Interest Rate Shock
-1815000, // Lost Decade
-1600000.00,
-2000000.00,
-1900000.00,
0.00,
0.00,
-1100000.00,
-312000.00,
-390000.00,
-370500.00,
0.00,
0.00,
-214500.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"EMCT has ability to take advantage of the Index basis cheapening to lock in skew package at market levels (street-facing) versus fair value (facility). Initial margin of $40mm protects the desk from Gap Risk if we face the situation of having positive MtM in excess of the IM against the counterparty and if they need to unwind the overall transaction.",
SystemicPnLSeries (
-1800000, // 1974 Baseline
-3600000, // 2008 Baseline
-1800000, // Deep Down-turn
0., // Dollar Decline
-1440000, // Interest Rate Shock
-900000, // Lost Decade
-2050000.00,
-4100000.00,
-2050000.00,
0.00,
-1640000.00,
-1025000.00,
-300000.00,
-600000.00,
-300000.00,
0.00,
-240000.00,
-150000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Leveraged CLNs and TRS's",
SystemicPnLSeries (
-6750000, // 1974 Baseline
-13500000, // 2008 Baseline
-6750000, // Deep Down-turn
0., // Dollar Decline
-5400000, // Interest Rate Shock
-3375000, // Lost Decade
-6750000, // 1974 Baseline
-13500000, // 2008 Baseline
-6750000, // Deep Down-turn
0., // Dollar Decline
-5400000, // Interest Rate Shock
-3375000, // Lost Decade
-5500000.00,
-11000000.00,
-5500000.00,
0.00,
-4400000.00,
-2750000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Borrow Cost",
SystemicPnLSeries (
-5520000, // 1974 Baseline
-6900000, // 2008 Baseline
-6555000, // Deep Down-turn
0., // Dollar Decline
0, // Interest Rate Shock
-3795000, // Lost Decade
-4800000.00,
-6000000.00,
-5700000.00,
0.00,
0.00,
-3300000.00,
-4800000.00,
-6000000.00,
-5700000.00,
0.00,
0.00,
-3300000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.ASIA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Quanto Risk: Korea Sov/Corps & non-Korean names KRW credit protections arising from NTD and SN CDS.",
SystemicPnLSeries (
473776.2, // 1974 Baseline
947552.5, // 2008 Baseline
473776.2, // Deep Down-turn
0., // Dollar Decline
379021, // Interest Rate Shock
236888.1, // Lost Decade
558272.30,
1116544.60,
558272.30,
0.00,
446617.80,
279136.10,
-1731284.60,
-3462569.30,
-1731284.60,
0.00,
-1385027.70,
-865642.30
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Italy Rate/Credit Model Parameter Risk",
SystemicPnLSeries (
-67100000,
-83900000,
-42000000,
0,
-33600000,
-21000000,
-64700000.00,
-80900000.00,
-40500000.00,
0.00,
-32400000.00,
-20200000.00,
0.00,
0.00,
0.00,
0.00,
0.00,
0.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"New Financial CDS Shocks",
SystemicPnLSeries (
-22900000,
-28663237.5,
-14331618.7,
0,
-11465295,
-7165809.4,
-25300000.00,
-31700000.00,
-15800000.00,
0.00,
-12700000.00,
-7921525.00,
-25300000.00,
-31700000.00,
-15800000.00,
0.00,
-12700000.00,
-7921525.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Italy Hedge Bond/CDS Basis Risk",
SystemicPnLSeries (
-3057600,
-3822000,
-1911000,
0,
-1528800,
-955500,
-4720000.00,
-5900000.00,
-2950000.00,
0.00,
-2360000.00,
-1475000.00,
-4720000.00,
-5900000.00,
-2950000.00,
0.00,
-2360000.00,
-1475000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Binary write down risk inherent in contingent convertibles instrument",
SystemicPnLSeries (
-36755873,
-36755873,
-18377936.5,
0,
-14702349.2,
-9188968.3,
-43087503.00,
-43087503.00,
-21543751.50,
0.00,
-17235001.20,
-10771875.80,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Underperformance of Financials: Sen vs Sub Basis & CDS Basis",
SystemicPnLSeries (
-24919668.7,
-24919668.7,
-12459834.3,
0,
-9967867.5,
-6229917.2,
-24814700.80,
-24814700.80,
-12407350.40,
0.00,
-9925880.30,
-6203675.20,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asset/asset correlation",
SystemicPnLSeries (
-41600000,
-52000000,
-49400000,
0,
0,
-28600000,
-50600000.00,
-63300000.00,
-60100000.00,
0.00,
0.00,
-34800000.00,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Lack of GSST full reval Hybrids CIS",
SystemicPnLSeries (
-156000000,
-156000000,
-156000000,
0,
-156000000,
-156000000,
-68800000.00,
-68800000.00,
-68800000.00,
0.00,
-68800000.00,
-68800000.00,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Recovery Basis on multiple CDS default scenarios",
SystemicPnLSeries (
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0.,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"ETF price shock reported as an add-on to current GSST.",
SystemicPnLSeries (
2596979.2,
-2596979.2,
-3895468.7,
0,
-973867.2,
-1558187.5,
778056.70,
-778056.70,
-1167085.10,
0.00,
-291771.30,
-466834.00,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Quanto Risk: - Croatia Quanto (EUR/USD) because of large dollar issues in EUR - Romania RON repacks quanto CDS - Turkey TRY extinguishers - SoAf Sov/Corps ZAR extinguishers/quanto CDS",
SystemicPnLSeries (
350000,
700000,
350000,
0,
280000,
175000,
400000.00,
800000.00,
400000.00,
0.00,
320000.00,
200000.00,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Dividend Risk",
SystemicPnLSeries (
-72600000,
-90700000,
-86200000,
0,
0,
-49900000,
-83800000.00,
-105000000.00,
-99500000.00,
0.00,
0.00,
-57600000.00,
-5920000.00,
-7400000.00,
-7030000.00,
0.00,
0.00,
-4070000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Quanto CDS on EU Flow desks",
SystemicPnLSeries (
-1000603.7,
-1000603.7,
-500301.9,
0,
-400241.5,
-250150.9,
-353968.50,
-353968.50,
-176984.20,
0.00,
-141587.40,
-88492.10,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Correlation skew basis (bespoke vs index tranche)",
SystemicPnLSeries (
-1446762.7,
-1569354.4,
-784677.2,
0,
-627741.7,
-392338.6,
-1812552.20,
-1966139.10,
-983069.50,
0.00,
-786455.60,
-491534.80,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"GSST add-on for more granular shocks for Distressed assets",
SystemicPnLSeries (
-2777186.9,
-2777186.9,
-1388593.5,
0,
-1110874.8,
-694296.7,
-8605594.60,
-8605594.60,
-4302797.30,
0.00,
-3442237.80,
-2151398.60,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Correlation",
SystemicPnLSeries (
-2080000,
-2600000,
-2470000,
0,
0,
-1430000,
-2400000.00,
-3000000.00,
-2850000.00,
0.00,
0.00,
-1650000.00,
-2080000,
-2600000,
-2470000,
0,
0,
-1430000
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Secondary FX exposure not centrally hedged by treasury",
SystemicPnLSeries (
-129131,
129131,
193696.4,
0,
48424.1,
77478.6,
59545.90,
-59545.90,
-89318.90,
0.00,
-22329.70,
-35727.60,
-48128.20,
48128.20,
72192.40,
0.00,
18048.10,
28876.90
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Borrow Cost",
SystemicPnLSeries (
-16200000,
-20200000,
-19200000,
0,0,
-11100000,
-18600000.00,
-23200000.00,
-22000000.00,
0.00,
0.00,
-12800000.00,
-20200000.00,
-25300000.00,
-24000000.00,
0.00,
0.00,
-13900000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Sovereign CDS doc clause basis widening",
SystemicPnLSeries (
-1354676.3,
-1354676.3,
-677338.1,
0,
-541870.5,
-338669.1,
-862361.80,
-862361.80,
-431180.90,
0.00,
-344944.70,
-215590.50,
-862361.80,
-862361.80,
-431180.90,
0.00,
-344944.70,
-215590.50
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Callable Bonds - vega risk arising from yield volatility. In the current yield-to-worst calculation volatility is not modeled.",
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
-1299144.70,
-1299144.70,
-649572.40,
0.00,
-519657.90,
-324786.20,
-1299144.70,
-1299144.70,
-649572.40,
0.00,
-519657.90,
-324786.20
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Skew",
SystemicPnLSeries (
-7840000,
-9800000,
-9310000,
0,
0,
-5390000,
-5440000.00,
-6800000.00,
-6460000.00,
0.00,
0.00,
-3740000.00,
-4960000.00,
-6200000.00,
-5890000.00,
0.00,
0.00,
-3410000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asset/FX correlation",
SystemicPnLSeries (
-3520000,
-4400000,
-4180000,
0,
0,
-2420000,
-2400000.00,
-3000000.00,
-2850000.00,
0.00,
0.00,
-1650000.00,
-2960000.00,
-3700000.00,
-3515000.00,
0.00,
0.00,
-2035000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"ECM - CB CR01",
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Collateralized Loan GAP RISK : FX Rates and Credit Gap Risk on Collateral posted . $bn",
SystemicPnLSeries (
-6200000,
-12400000,
-6200000,
0,
-4960000,
-3100000,
-6200000,
-12400000,
-6200000,
0,
-4960000,
-3100000,
-6200000.00,
-12400000.00,
-6200000.00,
0.00,
-4960000.00,
-3100000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"EU Finance desk long Italian bills",
SystemicPnLSeries (
0,
-10000000,
0,
0,
0,
0,
0,
-10000000,
0,
0,
0,
0,
0,
-5200000,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"CB vs. CDS basis: Net CR01 from CB trading desks is currently small; however there is significant exposure to widening of the basis of CB vs CDS spreads.",
SystemicPnLSeries (
-2495272.7,
-3119090.9,
-1871454.5,
0,
0,
-1091681.8,
-2802909.10,
-3503636.40,
-2102181.80,
0.00,
0.00,
-1226272.70,
-2085090.90,
-2606363.60,
-1563818.20,
0.00,
0.00,
-912227.30
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.EMEA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Recovery Basis on Watchlist banks",
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Collateralized Loan GAP RISK : FX and Credit Gap Risk on Collateral. $bn",
SystemicPnLSeries (
-10100000,
-20200000,
-10100000,
0,
-8080000,
-5050000,
-9465000.00,
-18900000.00,
-9465000.00,
0.00,
-7572000.00,
-4732500.00,
-9450000.00,
-18900000.00,
-9450000.00,
0.00,
-7560000.00,
-4725000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EM_CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.LATIN_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Quanto Risk: - Chile Corporate CLP Repacks CLN - Colombian COP Extinguisher - Peru PEN Extinguisher and related quanto CDS hedges in CLP COP and PEN",
SystemicPnLSeries (
-1800000,
-3600000,
-1800000,
0,
-1440000,
-900000,
-1800000,
-3600000,
-1800000,
0,
-1440000,
-900000,
-1850000.00,
-3700000.00,
-1850000.00,
0.00,
-1480000.00,
-925000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.CVA,
"Wrong-Way Risk",
SystemicPnLSeries (
-1280375.2,
-1600469,
-800234.5,
0,
-640187.6,
-400117.3,
-1641107.20,
-2051384.00,
-1025692.00,
0.00,
-820553.60,
-512846.00,
-1641107.20,
-2051384.00,
-1025692.00,
0.00,
-820553.60,
-512846.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"MCDX-single name CDS basis risk",
SystemicPnLSeries (
-5270193.7,
-5270193.7,
-2635096.8,
0,
-2108077.5,
-1317548.4,
-6107389.10,
-6107389.10,
-3053694.60,
0.00,
-2442955.70,
-1526847.30,
-5398708.60,
-5398708.60,
-2699354.30,
0.00,
-2159483.40,
-1349677.10
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"ETF price shock reported as an add-on to current GSST.",
SystemicPnLSeries (
7790937.5,
-7790937.5,
-11686406.2,
0,
-2921601.6,
-4674562.5,
2334170.10,
-2334170.10,
-3501255.20,
0.00,
-875313.80,
-1400502.10,
-9277411.20,
9277411.20,
13916116.80,
0.00,
3479029.20,
5566446.70
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Secondary FX exposure not centrally hedged by treasury",
SystemicPnLSeries (
-387392.9,
387392.9,
581089.3,
0,
145272.3,
232435.7,
178637.80,
-178637.80,
-267956.60,
0.00,
-66989.20,
-107182.70,
-144384.70,
144384.70,
216577.10,
0.00,
54144.30,
86630.80
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.SECURITIZED_MARKETS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Pay up basis between the Agency Specified Pools and coresponding Agency TBAs",
SystemicPnLSeries (
-95173191.7,
-118966489.6,
-59483244.8,
0,
-47586595.8,
-29741622.4,
-98286136.90,
-122857671.20,
-61428835.60,
0.00,
-49143068.50,
-30714417.80,
-65652714.40,
-82065893.00,
-41032946.50,
0.00,
-32826357.20,
-20516473.30
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Borrow Cost",
SystemicPnLSeries (
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
-2080000.00,
-2600000.00,
-2470000.00,
0.00,
0.00,
-1430000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Callable Bonds - vega risk arising from yield volatility. In the current yield-to-worst calculation volatility is not modeled.",
SystemicPnLSeries (
-4099820,
-4099820,
-2049910,
0,
-1639928,
-1024955,
-4099820,
-4099820,
-2049910,
0,
-1639928,
-1024955,
-3930702.60,
-3930702.60,
-1965351.30,
0.00,
-1572281.00,
-982675.70
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Sharp decline in loan prices leads to TRS termination triggers being breached requiring additional margin to be posted or close-out/liquidiation of hedges to commence",
SystemicPnLSeries (
-49003856,
-98007711.9,
-49003856,
0,
-39203084.8,
-24501928,
-45387291.40,
-90774582.70,
-45387291.40,
0.00,
-36309833.10,
-22693645.70,
-57208342.50,
-114416685.00,
-57208342.50,
0.00,
-45766674.00,
-28604171.20
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Rating downgrade (by one letter grade) of the top name in the cash hedges for MMD rate locks",
SystemicPnLSeries (
-875292.2,
-875292.2,
-437646.1,
0,
-350116.9,
-218823.1,
-551317.30,
-551317.30,
-275658.60,
0.00,
-220526.90,
-137829.30,
-837126.20,
-837126.20,
-418563.10,
0.00,
-334850.50,
-209281.50
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"MMD rate lock-cash basis risk",
SystemicPnLSeries (
-974268,
-974268,
-487134,
0,
-389707.2,
-243567,
-1280002.30,
-1280002.30,
-640001.20,
0.00,
-512000.90,
-320000.60,
-5033860.20,
-5033860.20,
-2516930.10,
0.00,
-2013544.10,
-1258465.10
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Muni Ratio Vega/Correlation",
SystemicPnLSeries (
0,
-1400000,
-420000,
0,
0,
0,
0,
-630000.00,
-189000.00,
0,
0,
0,
0,
-350000.00,
-105000.00,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Agency desk European Sov (Spain Italy Ukraine) MV",
SystemicPnLSeries (
0,
-4600,
0,
0,
0,
0,
0,
-4700,
0,
0,
0,
0,
0,
-4600,
0,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"TRS-MMD rate lock basis risk",
SystemicPnLSeries (
-3521333.4,
-3521333.4,
-1760666.7,
0,
-1408533.4,
-880333.3,
-4124042.40,
-4124042.40,
-2062021.20,
0.00,
-1649617.00,
-1031010.60,
-4054608.10,
-4054608.10,
-2027304.00,
0.00,
-1621843.20,
-1013652.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Severe tubulence in Credit markets leads to widening of the TRS funding leg spread.",
SystemicPnLSeries (
-35326235.1,
-70652470.2,
-35326235.1,
0,
-28260988.1,
-17663117.5,
-38695688.40,
-77391376.90,
-38695688.40,
0.00,
-30956550.70,
-19347844.20,
-41657141.60,
-83314283.30,
-41657141.60,
0.00,
-33325713.30,
-20828570.80
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.DISTRESSED +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Defaulted debt and distressed debt price shock with product differentiation - incremental to GSST one cut shock",
SystemicPnLSeries (
-2030000,
12200000,
-20300000,
0,
-20300000,
-50800000,
-3465000.00,
20800000.00,
-34700000.00,
0.00,
-34700000.00,
-86600000.00,
-1735000.00,
10400000.00,
-17400000.00,
0.00,
-17400000.00,
-43400000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Leveraged index basis trades where client only posts margin up to the unlevered notional amount",
SystemicPnLSeries (
-5055250,
-10100000,
-5055250,
0,
-4044200,
-2527625,
-6019000.00,
-12000000.00,
-6019000.00,
0.00,
-4815200.00,
-3009500.00,
-6645901.50,
-13291803.00,
-6645901.50,
0.00,
-5316721.20,
-3322950.80
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CREDIT_TRADING +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Seconary FX exposure not centrally hedged by Treasury",
SystemicPnLSeries (
-485813,
485813,
728719.6,
0,
182179.9,
291487.9,
-476646.20,
476646.20,
714969.40,
0.00,
178742.30,
285987.70,
-472867.20,
472867.20,
709300.80,
0.00,
177325.20,
283720.30
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.G10_RATES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Possible calibration issues with SABR e.g. CMS - model risk",
SystemicPnLSeries (
0,
-15000000,
-9000000,
0,
0,
0,
0,
-15000000,
-9000000,
0,
0,
0,
0,
-15000000,
-9000000,
0,
0,
0
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asset/asset correlation",
SystemicPnLSeries (
-25500000,
-31900000,
-30300000,
0,
0,
-17500000,
-27700000.00,
-34600000.00,
-32870000.00,
0.00,
0.00,
-19000000.00,
-23000000.00,
-28800000.00,
-27400000.00,
0.00,
0.00,
-15800000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Dividend Risk",
SystemicPnLSeries (
-25400000,
-31800000,
-30200000,
0,
0,
-17500000,
-20100000.00,
-25100000.00,
-23800000.00,
0.00,
0.00,
-13800000.00,
-17400000.00,
-21700000.00,
-20600000.00,
0.00,
0.00,
-11900000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Skew",
SystemicPnLSeries (
-9280000,
-11600000,
-11000000,
0,
0,
-6380000,
-8560000.00,
-10700000.00,
-10200000.00,
0.00,
0.00,
-5885000.00,
-8240000.00,
-10300000.00,
-9785000.00,
0.00,
0.00,
-5665000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.EQUITY_DERIVATIVES +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Asset/FX correlation",
SystemicPnLSeries (
-272000,
-340000,
-323000,
0,
0,
-187000,
0,
0,
0,
0,
0,
0,
-560000.00,
-700000.00,
-665000.00,
0.00,
0.00,
-385000.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.CONVERTS +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"CB vs. CDS basis: Net CR01 from CB trading desks is currently small; however there is significant exposure to widening of the basis of CB vs CDS spreads.",
SystemicPnLSeries (
-9468363.6,
-11835454.5,
-7101272.7,
0,
0,
-4142409.1,
-4375272.70,
-5469090.90,
-3281454.50,
0.00,
0.00,
-1914181.80,
-4306909.10,
-5383636.40,
-3230181.80,
0.00,
0.00,
-1884272.70
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.MUNICIPAL +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Market Liquidity Contagion for Tobacco Sector ¿ As high yield institutional muni investors tend to hold both PR and Tobacco bonds liquidity will deteriorate for Tobacco when PR or other high yield sector market decline.",
SystemicPnLSeries (
-13600000,
-13600000,
-6801190,
0,
-5440952,
-3400595,
-16946918.10,
-16946918.10,
-8473459.00,
0.00,
-6778767.20,
-4236729.50,
-29000000.00,
-29000000.00,
-14500000.00,
0.00,
-11600000.00,
-7240500.00
)
))
{
return false;
}
if (!capitalUnitStressEventContext.addCorrelated (
org.drip.capital.definition.Business.PECD +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.Region.NORTH_AMERICA +
org.drip.capital.label.Coordinate.FQN_DELIMITER +
org.drip.capital.definition.RiskType.TRADING,
"Correlation skew basis (bespoke vs index tranche)",
SystemicPnLSeries (
-4340288.2,
-4708063.1,
-2354031.5,
0,
-1883225.2,
-1177015.8,
-5437656.70,
-5898417.20,
-2949208.60,
0.00,
-2359366.90,
-1474604.30,
-3535203.10,
-3834759.00,
-1917379.50,
0.00,
-1533903.60,
-958689.80
)
))
{
return false;
}
return true;
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return false;
}
/**
* Instantiate the Built-in CapitalUnitStressEventContext
*
* @return TRUE - The CapitalUnitStressEventContext Instance
*/
public static org.drip.capital.shell.CapitalUnitStressEventContext Instantiate()
{
org.drip.capital.shell.CapitalUnitStressEventContext capitalUnitStressEventContext =
new org.drip.capital.shell.CapitalUnitStressEventContext();
return LoadSystemic (
capitalUnitStressEventContext
) && LoadIdiosyncratic (
capitalUnitStressEventContext
) && LoadCorrelated (
capitalUnitStressEventContext
) ? capitalUnitStressEventContext : null;
}
}