Economic capital for a loan portfolio.
Based on my paper on credit economic capital.
Holds the attributes for the entire portfolio.
Struct representing loan attributes
Returns the expectation of a portfolio with liquidity risk
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.
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.
Returns risk contribution for a given loan. This function is used by experiment_risk_contribution but can also be used on its own.
Returns the variance of a portfolio with liquidity risk.