Class ConcentrationRisk

java.lang.Object

com.quantfinlib.risk.ConcentrationRisk

public final class ConcentrationRisk
extends Object

Concentration risk metrics over exposures (by asset, counterparty, sector, currency, ...): Herfindahl-Hirschman index, effective number of positions, top-N share, and single-name limit breaches.

Method Summary

Modifier and Type	Method	Description
static double	effectivePositions(double[] exposures)	Effective number of equally-weighted positions: 1 / HHI.
static double	herfindahlIndex(double[] exposures)	Herfindahl-Hirschman index of |exposure| shares; 1/N (diversified) .. 1 (single name).
static List<String>	limitBreaches(Map<String,Double> exposureByGroup, double maxShare)	Group keys whose share exceeds the single-name concentration limit.
static Map<String,Double>	shares(Map<String,Double> exposureByGroup)	|Exposure| share per group key.
static double	topNShare(double[] exposures, int n)	Combined |exposure| share of the largest n positions.

Methods inherited from class java.lang.Object

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

Method Details

herfindahlIndex

public static double herfindahlIndex(double[] exposures)

Herfindahl-Hirschman index of |exposure| shares; 1/N (diversified) .. 1 (single name).

effectivePositions

public static double effectivePositions(double[] exposures)

Effective number of equally-weighted positions: 1 / HHI.

topNShare

public static double topNShare(double[] exposures,
 int n)

Combined |exposure| share of the largest n positions.

shares

public static Map<String,Double> shares(Map<String,Double> exposureByGroup)

|Exposure| share per group key.

limitBreaches

public static List<String> limitBreaches(Map<String,Double> exposureByGroup,
 double maxShare)

Group keys whose share exceeds the single-name concentration limit.