Function loan_ec::risk_contribution

pub fn risk_contribution(
    loan: &Loan, 
    el_vec: &[f64], 
    el_sys: &[f64], 
    var_vec: &[f64], 
    var_sys: &[f64], 
    lambda0: f64, 
    lambda: f64, 
    q: f64, 
    c: f64
) -> f64

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

Arguments

• loan - An instance of the Loan struct
• el_vec - The portfolio vector of expected loss. Has the same size as the weight vector in the Loan struct.
• el_sys - The vector of expected values for the systemic random variables. This is typically a vector of ones.
• var_vec - The portfolio vector of variance. Has the same size as the weight vector in the Loan struct.
• var_sys - The vector of variances for the systemic random variables.
• lambda0 - Base loss (in dollars) from a liquidity event. A positive number.
• lambda - Sum of r*balance over each loan in the portfolio.
• q - Probability of liquidity event (scaled by the total portfolio loss).
• c - Scalar for multiplying the covariance for the risk contribution when using the variance risk measure. Typically (rho(X)-E[X])/sqrt(Var(X)) where rho is the value of the portfolio risk measure (eg, VaR).