[−][src]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. |