Struct loan_ec::EconomicCapitalAttributes

source · 
pub struct EconomicCapitalAttributes {
    pub cf: Vec<Complex<f64>>,
    pub el_vec: Vec<f64>,
    pub var_vec: Vec<f64>,
    pub num_w: usize,
    pub lambda: f64,
}
Expand description

Holds the attributes for the entire portfolio. The “cf” element holds the characteristic function for the portfolio. The “el_vec” element holds the expected value (first moment) vector of length num_w for the portfolio. The “var_vec” element holds the second moment vector of length num_w for the portfolio p_j E[l^2]w_j. The “num_w” element holds the number of systemic random variables. The “lambda” element holds the total liquidity risk for the portfolio (derived from each loan).

Fields§

§cf: Vec<Complex<f64>>

Holds the characteristic function for the portfolio (without multiplying by the systemic variables).

§el_vec: Vec<f64>

The expected value (first moment) vector of length num_w for the portfolio.

§var_vec: Vec<f64>

The second moment vector of length num_w for the portfolio (p_j E[l^2]w_j).

§num_w: usize

The number of systemic random variables.

§lambda: f64

The total liquidity risk for the portfolio. This is the sum of r*balance over the portfolio.

Implementations§

Implements economic capital structure

Creates a new (base) economic capital struct

Examples
extern crate loan_ec;
let num_u:usize=100;
let num_w:usize=3;
let ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);

Adds a new loan to the portfolio. Mutates el_vec, var_vec, cf, and lambda.

Arguments
  • loan - An instance of the Loan struct
  • u_domain - The vector of complex values provided to the characteristic function. Is typically generated by the fang_oost repository. See the example.
  • log_lpm_cf - The result from calling “get_log_lpm_cf”.
Examples
extern crate loan_ec;
extern crate fang_oost;
extern crate rayon;
extern crate num_complex;
use rayon::prelude::*;
use num_complex::Complex;
let num_u:usize=100;
let num_w:usize=1;
let x_min=-5000.0;
let x_max=0.0;
let mut ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);
let loan=loan_ec::Loan{
    pd: 0.05,
    lgd: 0.5,
    lgd_variance: 0.2,
    balance: 1.0,
    r: 0.0,
    weight: vec![1.0],
    num: 10000.0
};
let u_domain: Vec<Complex<f64>> = fang_oost::get_u_domain(num_u, x_min, x_max).collect();
let lambda=1000.0;
let q=0.0001;
let liquid_fn = loan_ec::get_liquidity_risk_fn(lambda, q);
//the exponent is negative because l represents a loss
let lgd_fn = |u: &Complex<f64>, l: f64, _lgd_v: f64| (-u * l).exp();
let log_lpm_cf = loan_ec::get_log_lpm_cf(&lgd_fn, &liquid_fn);
ec_attributes.process_loan(&loan, &u_domain, &log_lpm_cf);

Performs marginal analytics for a potential loan to the portfolio. The typical use case is for pricing a new loan that could potentially be added to the portfolio. For a loan is already in the portfolio, the “process_loan” function should be used.

Arguments
  • loan - An instance of the Loan struct
  • u_domain - The vector of complex values provided to the characteristic function. Is typically generated by the fang_oost repository. See the example.
  • log_lpm_cf - The result from calling “get_log_lpm_cf”.
Examples
extern crate loan_ec;
extern crate fang_oost;
extern crate rayon;
extern crate num_complex;
use rayon::prelude::*;
use num_complex::Complex;
let num_u:usize=100;
let num_w:usize=1;
let x_min=-5000.0;
let x_max=0.0;
let q=0.0001;
let lambda=1000.0;
let mut ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);
let loan=loan_ec::Loan{
    pd: 0.05,
    lgd: 0.5,
    lgd_variance: 0.2,
    balance: 1.0,
    r: 0.0,
    weight: vec![1.0],
    num: 10000.0
};
let liquid_fn = loan_ec::get_liquidity_risk_fn(lambda, q);
let u_domain: Vec<Complex<f64>> = fang_oost::get_u_domain(num_u, x_min, x_max).collect();
let lgd_fn = |u: &Complex<f64>, l: f64, _lgd_v: f64| (-u * l).exp();
let log_lpm_cf = loan_ec::get_log_lpm_cf(&lgd_fn, &liquid_fn);
ec_attributes.process_loan(&loan, &u_domain, &log_lpm_cf);
let loan_ec::EconomicCapitalAttributes{
    cf, el_vec, var_vec, lambda, num_w
}=ec_attributes.experiment_loan(
    &loan, &u_domain,
    &log_lpm_cf
);

Finds the risk contribution of a new loan. This can be called instead of experiment loan to provide a simpler API than obtaining the analytics from “experiment_loan” and running them through the “risk_contribution” function. The “lambda0” argument is the base loss in a liquidity event, independent of loan’s liquidity. The “q” argument is the scalar to adjust the probability of a liquidity event. Proportional to the probability of a liquidity event. The “mgf_systemic” argument is the moment generating function is likely to be a function of el_sys and var_sys.

Arguments
  • loan - An instance of the Loan struct
  • u_domain - The vector of complex values provided to the characteristic function. Is typically generated by the fang_oost repository. See the example.
  • log_lpm_cf - The result from calling “get_log_lpm_cf”.
  • lambda0 - Base loss (in dollars) from a liquidity event. A positive number.
  • q - Probability of liquidity event (scaled by the total portfolio loss).
  • mgf_systemic - Moment generating function for the systemic random variables. Likely to be a function of el_sys and var_sys.
  • el_sys - The vector of expected values for the systemic random variables. This is typically a vector of ones.
  • var_sys - The vector of variances for the systemic random variables.
  • risk_measure_fn - Function which computes the risk measure for the portfolio, e.g. VaR.
Examples
extern crate loan_ec;
extern crate fang_oost;
extern crate rayon;
extern crate num_complex;
use rayon::prelude::*;
use num_complex::Complex;
extern crate cf_dist_utils;
let num_u:usize=100;
let num_w:usize=1;
let x_min=-5000.0;
let x_max=0.0;
let mut ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);
let loan=loan_ec::Loan{
    pd: 0.05,
    lgd: 0.5,
    lgd_variance: 0.2,
    balance: 1.0,
    r: 0.0,
    weight: vec![1.0],
    num: 10000.0
};
let lambda0=1000.0;
let q=0.0001;
let liquid_fn = loan_ec::get_liquidity_risk_fn(lambda0, q);
let u_domain: Vec<Complex<f64>> = fang_oost::get_u_domain(num_u, x_min, x_max).collect();
let lgd_fn = |u: &Complex<f64>, l: f64, _lgd_v: f64| (-u * l).exp();
let log_lpm_cf = loan_ec::get_log_lpm_cf(&lgd_fn, &liquid_fn);
ec_attributes.process_loan(&loan, &u_domain, &log_lpm_cf);
let systemic_expectation = vec![1.0];
let v = vec![0.4];
let quantile=0.01;
let systemic_mgf=|u_weights: &[Complex<f64>]| -> Complex<f64> {
    u_weights
    .iter()
    .zip(&v)
    .map(|(u, v_inst)| -(1.0 - v_inst * u).ln() / v_inst)
    .sum::<Complex<f64>>()
    .exp()
};
let max_iterations = 100;
let tolerance = 0.0001;
let risk_measure_fn = |final_cf: &[Complex<f64>]| {
    let (_es, var) = cf_dist_utils::get_expected_shortfall_and_value_at_risk_discrete_cf(
        quantile,
        x_min,
        x_max,
        max_iterations,
        tolerance,
        final_cf,
    );  
    var
};
let rc = ec_attributes.experiment_risk_contribution(
    &loan,
    &u_domain,
    &log_lpm_cf,
    lambda0,
    q,
    &systemic_mgf,
    &systemic_expectation,
    &v,
    &risk_measure_fn,
);

Gets the expected value of the portfolio without liquidity risk. This should be called after processing all the loans in the portfolio.

Arguments
  • el_sys - The vector of expected values for the systemic random variables. This is typically a vector of ones.
Examples
extern crate loan_ec;
extern crate fang_oost;
extern crate rayon;
extern crate num_complex;
use rayon::prelude::*;
use num_complex::Complex;
extern crate cf_dist_utils;
let num_u:usize=100;
let num_w:usize=1;
let x_min=-5000.0;
let x_max=0.0;
let expectation=vec![1.0];
let lambda=1000.0;
let q=0.0001;
let liquid_fn = loan_ec::get_liquidity_risk_fn(lambda, q);
//the exponent is negative because l represents a loss
let lgd_fn = |u: &Complex<f64>, l: f64, _lgd_v: f64| (-u * l).exp();
let log_lpm_cf = loan_ec::get_log_lpm_cf(&lgd_fn, &liquid_fn);
let mut ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);
let loan=loan_ec::Loan{
    pd: 0.05,
    lgd: 0.5,
    lgd_variance: 0.2,
    balance: 1.0,
    r: 0.0,
    weight: vec![1.0],
    num: 10000.0
};
let u_domain: Vec<Complex<f64>> = fang_oost::get_u_domain(num_u, x_min, x_max).collect();
ec_attributes.process_loan(&loan, &u_domain, &log_lpm_cf);
let expectation_portfolio=ec_attributes.get_portfolio_expectation(&expectation);

Gets the variance of the portfolio without liquidity risk. This should be called after processing all the loans in the portfolio.

Arguments
  • el_sys - The vector of expected values for the systemic random variables. This is typically a vector of ones.
  • var_sys - The vector of variances for the systemic random variables.
Examples
extern crate loan_ec;
extern crate fang_oost;
extern crate rayon;
extern crate num_complex;
use num_complex::Complex;
use rayon::prelude::*;
let num_u:usize=100;
let num_w:usize=1;
let x_min=-5000.0;
let x_max=0.0;
let systemic_expectation = vec![1.0];
let v = vec![0.4];
let mut ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);
let loan=loan_ec::Loan{
    pd: 0.05,
    lgd: 0.5,
    lgd_variance: 0.2,
    balance: 1.0,
    r: 0.0,
    weight: vec![1.0],
    num: 10000.0
};
let lambda=1000.0;
let q=0.0001;
let liquid_fn = loan_ec::get_liquidity_risk_fn(lambda, q);
//the exponent is negative because l represents a loss
let lgd_fn = |u: &Complex<f64>, l: f64, _lgd_v: f64| (-u * l).exp();
let log_lpm_cf = loan_ec::get_log_lpm_cf(&lgd_fn, &liquid_fn);
let u_domain: Vec<Complex<f64>> = fang_oost::get_u_domain(num_u, x_min, x_max).collect();
ec_attributes.process_loan(&loan, &u_domain, &log_lpm_cf);
let variance_portfolio=ec_attributes.get_portfolio_variance(&systemic_expectation, &v);

Gets the discrete characteristic function for the portfolio. This should be called after processing all the loans in the portfolio.

Arguments
  • mgf_systemic - Moment generating function for the systemic random variables. Likely to be a function of el_sys and var_sys.
Examples
extern crate loan_ec;
extern crate fang_oost;
extern crate rayon;
extern crate num_complex;
use rayon::prelude::*;
use num_complex::Complex;
extern crate cf_dist_utils;
let num_u:usize=100;
let num_w:usize=1;
let x_min=-5000.0;
let x_max=0.0;
let systemic_expectation = vec![1.0];
let v = vec![0.4];
let lambda=1000.0;
let q=0.0001;
let liquid_fn = loan_ec::get_liquidity_risk_fn(lambda, q);
//the exponent is negative because l represents a loss
let lgd_fn = |u: &Complex<f64>, l: f64, _lgd_v: f64| (-u * l).exp();
let log_lpm_cf = loan_ec::get_log_lpm_cf(&lgd_fn, &liquid_fn);
let mut ec_attributes=loan_ec::EconomicCapitalAttributes::new(num_u, num_w);
let systemic_mgf=|u_weights: &[Complex<f64>]| -> Complex<f64> {
    u_weights
    .iter()
    .zip(&v)
    .map(|(u, v_inst)| -(1.0 - v_inst * u).ln() / v_inst)
    .sum::<Complex<f64>>()
    .exp()
};
let loan=loan_ec::Loan{
    pd: 0.05,
    lgd: 0.5,
    lgd_variance: 0.2,
    balance: 1.0,
    r: 0.0,
    weight: vec![1.0],
    num: 10000.0
};
let u_domain: Vec<Complex<f64>> = fang_oost::get_u_domain(num_u, x_min, x_max).collect();
ec_attributes.process_loan(&loan, &u_domain, &log_lpm_cf);
let cf=ec_attributes.get_full_cf(&systemic_mgf);

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