Crate loan_ec

Economic capital for a loan portfolio.
Based on my paper on credit economic capital.

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. The result of this function is used as the third argument in process_loan.

risk_contribution

Returns risk contribution for a given loan. This function is used by experiment_risk_contribution but can also be used on its own.

variance_liquidity

Returns the variance of a portfolio with liquidity risk.