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).
Struct representing loan attributes
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