Package jdistlib.finance

Class FinancialRisk

java.lang.Object

jdistlib.finance.FinancialRisk

public final class FinancialRisk
extends Object

Atom-aware tail-risk, partial-moment, and option-payoff functionals.

Method Summary

Modifier and Type	Method	Description
static NumericalEstimate	callPayoff(GenericDistribution terminalPrice, double strike)
static NumericalEstimate	downsideDeviation(GenericDistribution returns, double minimumAcceptableReturn)
static NumericalEstimate	expectedShortfall(GenericDistribution distribution, double level, RiskConvention convention)	Atom-aware expected loss beyond VaR, defined through the quantile integral.
static NumericalEstimate	expectedShortfallMagnitude(GenericDistribution distribution, double target)
static NumericalEstimate	expectile(GenericDistribution distribution, double probability)	Asymmetric least-squares expectile with a bracket/convergence report.
static NumericalEstimate	partialMoment(GenericDistribution distribution, double threshold, double order, Tail tail)	Lower/upper partial moment E[(threshold-X)+^order] or E[(X-threshold)+^order].
static NumericalEstimate	putPayoff(GenericDistribution terminalPrice, double strike)
static double	shortfallProbability(GenericDistribution distribution, double target)
static NumericalEstimate	stopLoss(GenericDistribution distribution, double retention)
static double	valueAtRisk(GenericDistribution distribution, double level, RiskConvention convention)	Loss VaR at confidence level; returns are converted to losses first.
static void	valueAtRiskInto(GenericDistribution distribution, double[] levels, int inputOffset, double[] output, int outputOffset, int length, RiskConvention convention)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

valueAtRisk

public static double valueAtRisk(GenericDistribution distribution,
 double level,
 RiskConvention convention)

Loss VaR at confidence level; returns are converted to losses first.

expectedShortfall

public static NumericalEstimate expectedShortfall(GenericDistribution distribution,
 double level,
 RiskConvention convention)

Atom-aware expected loss beyond VaR, defined through the quantile integral.

partialMoment

public static NumericalEstimate partialMoment(GenericDistribution distribution,
 double threshold,
 double order,
 Tail tail)

Lower/upper partial moment E[(threshold-X)+^order] or E[(X-threshold)+^order].

stopLoss

public static NumericalEstimate stopLoss(GenericDistribution distribution,
 double retention)

callPayoff

public static NumericalEstimate callPayoff(GenericDistribution terminalPrice,
 double strike)

putPayoff

public static NumericalEstimate putPayoff(GenericDistribution terminalPrice,
 double strike)

downsideDeviation

public static NumericalEstimate downsideDeviation(GenericDistribution returns,
 double minimumAcceptableReturn)

shortfallProbability

public static double shortfallProbability(GenericDistribution distribution,
 double target)

expectedShortfallMagnitude

public static NumericalEstimate expectedShortfallMagnitude(GenericDistribution distribution,
 double target)

expectile

public static NumericalEstimate expectile(GenericDistribution distribution,
 double probability)

Asymmetric least-squares expectile with a bracket/convergence report.

valueAtRiskInto

public static void valueAtRiskInto(GenericDistribution distribution,
 double[] levels,
 int inputOffset,
 double[] output,
 int outputOffset,
 int length,
 RiskConvention convention)