# [−][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. |