Crate loan_ec

Economic capital for a loan portfolio. Based on https://github.com/phillyfan1138/CreditRiskExtensions/blob/master/StahlMultiVariatePaper.pdf.

Structs

EconomicCapitalAttributes

Holds the attributes for the entire portfolio.

Loan

Struct representing loan attributes

Functions

expectation_liquidity

Returns the expectation of a portfolio with liquidity risk

get_liquidity_risk_fn

Returns a function incorporating liquidity risk to the characteristic function. This function makes lambda negative: the probability of lambda occurring is -qX since X is negative.

get_log_lpm_cf

Returns a function which is the characteristic exponent for a given loan.

risk_contribution

Returns risk contribution for a given loan

variance_liquidity

Returns the variance of a portfolio with liquidity risk