Expand description
Economic capital for a loan portfolio. Based on https://github.com/phillyfan1138/CreditRiskExtensions/blob/master/StahlMultiVariatePaper.pdf.
Structs
Functions
Returns the expectation of a portfolio with liquidity risk
Returns a function incorporating liquidity risk to the characteristic
function. This function makes lambda negative, since the probability
of lambda occurring is -qX since X is negative.
Returns a function which is the characteristic exponent for a given
loan.
Returns risk contribution for a given loan
Returns the variance of a portfolio with liquidity risk