Package org.apache.ignite.examples.computegrid.montecarlo

Class CreditRiskManager

  • public class CreditRiskManager
extends java.lang.Object
    This class abstracts out the calculation of risk for a credit portfolio.

    • Method Summary

      All Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      double calculateCreditRiskMonteCarlo​(Credit[] portfolio, int horizon, int num, double percentile)
      Calculates credit risk for a given credit portfolio.

      • Methods inherited from class java.lang.Object

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

    • Constructor Detail

      • CreditRiskManager

        public CreditRiskManager()

    • Method Detail

      • calculateCreditRiskMonteCarlo

        public double calculateCreditRiskMonteCarlo​(Credit[] portfolio,
                                            int horizon,
                                            int num,
                                            double percentile)
        Calculates credit risk for a given credit portfolio. This calculation uses Monte-Carlo Simulation to produce risk value.
        Parameters:
        portfolio - Credit portfolio.
        horizon - Forecast horizon (in days).
        num - Number of Monte-Carlo iterations.
        percentile - Cutoff level.
        Returns:
        Credit risk value, i.e. the minimal amount that creditor has to have available to cover possible defaults.