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Economic capital for a loan portfolio.
Based on my paper
on credit economic capital.
Structs§
- Economic
Capital Attributes - 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.