Expand description
Economic capital for a loan portfolio. Based on https://github.com/phillyfan1138/CreditRiskExtensions/blob/master/StahlMultiVariatePaper.pdf.
Structs
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)
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)
Functions
Returns the expectation of a portfolio with liquidity risk
Returns a function incorporating liquidity risk to the characteristic
function. This function makes lambda negative, since the probability
of lambda occurring is -qX since X is negative.
Returns a function which is the characteristic exponent for a given
loan. The “lgd_cf” argument is the characteristic function for a given loan’s LGD.
The “liquidity_cf” argument is the liquidity function typically instantiated from “get_liquidity_risk_fn”
Returns risk contribution for a given loan
Returns the variance of a portfolio with liquidity risk