Package com.quantfinlib.risk
package com.quantfinlib.risk
Risk: measurement, decomposition, credit/limits, and model validation.
Portfolio analytics (
RiskMetrics,
PortfolioRiskAnalyzer,
CorrelationMatrix,
RiskMetricRegistry for custom metrics);
pre-trade and credit controls
(PreTradeLimitChecker,
CounterpartyExposureTracker,
SettlementRiskAnalyzer for Herstatt windows,
ConcentrationRisk); and validation —
VarBacktest (Kupiec, Christoffersen,
conditional coverage) turns produced VaR numbers into validated ones.
The market-risk workflow (docs/MARKET_RISK.md):
Dependence (Spearman, Kendall's τ, the
elliptical-copula bridge), Pca (Jacobi —
level/slope/curvature honesty about factor counts),
GaussianCopula (Gaussian + Student-t
samplers; the t has the tail dependence 2008 taught everyone the
Gaussian lacks), VarEngine (portfolio
delta-normal / Monte Carlo / delta-gamma Cornish-Fisher / historical,
each with expected shortfall),
ExtremeValueTheory (POT/GPD tail fits
that refuse a finite ES when the tail has no mean),
StressTester (scenarios, ladders, and
closed-form reverse stress with an implausibility verdict),
FrtbEs (the 97.5% ES liquidity-horizon
cascade, stressed calibration, Basel traffic light — styled after
BCBS MAR33, not certified) and
PnlAttribution (the FRTB PLAT:
Spearman + Kolmogorov-Smirnov with green/amber/red zones).
-
ClassDescriptionCOMPONENT VaR — the answer to the risk committee's actual question.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.Correlation and covariance matrices from a returns matrix laid out as
returns[asset][time].Counterparty credit exposure modeling with netting: Current exposure — max(0, net mark-to-market) per netting set. Potential future exposure — notional add-ons by tenor bucket (BIS current-exposure-method style FX factors: <1y 1%, 1–5y 5%, >5y 7.5%).LEDOIT-WOLF covariance shrinkage (2004, "A well-conditioned estimator for large-dimensional covariance matrices") — the standard fix for the dirty secret of portfolio optimization: the sample covariance matrix is the MAXIMALLY overfit estimate.Rank-based dependence measures — what Pearson correlation misses.Extreme value theory via peaks-over-threshold — the statistically honest way to ask about quantiles BEYOND the sample.A fitted POT tail model.FRTB Internal Models Approach expected shortfall — the market-risk capital measure that replaced 10-day VaR: ES at 97.5%, computed on a base 10-day horizon and scaled up across LIQUIDITY HORIZONS (how long each risk factor class realistically takes to exit under stress: 10 days for major FX and rates, up to 120 for exotic credit), then anchored to a STRESSED period:The Basel backtesting traffic light over 250 days of 99% VaR exceptions: GREEN ≤ 4 (model fine), AMBER 5-9 (capital multiplier rises), RED ≥ 10 (model presumed wrong).Gaussian and Student-t copula samplers — dependence separated from marginals, which is the entire point of copula modeling: "these five factors co-move like THIS" (the copula) is a different statement from "each factor's own distribution looks like THAT" (the marginals), and gluing arbitrary marginals to a chosen dependence structure is how joint risk scenarios get built.Principal component analysis of a covariance matrix — the risk-factor compressor.FRTB P&L attribution test (PLAT) — the exam a risk MODEL must pass to keep internal-model approval: does the risk engine's theoretical P&L (RTPL — what the model's factors and pricers say the desk made) actually track the desk's hypothetical P&L (HPL — what revaluing the real book on real prices says)?The PLAT verdict for one desk over one window.Multi-asset portfolio of positions with live price updates.Portfolio-level risk engine: portfolio VaR/CVaR/volatility, asset-level risk, exposure analysis, correlation analysis, and risk decomposition (marginal contribution to risk).Full risk report.Pre-trade risk gate: validates every order against configured limits before it reaches the market — order size, notional, resulting position, price collar versus a reference mid, restricted symbols, and counterparty credit headroom.Pluggable risk metric over a periodic return series.Custom Risk Metrics Framework: registry of built-in and user-defined risk metrics, evaluated together over a return series.Core quantitative risk metrics.Settlement (Herstatt) risk: the exposure created when you pay away one currency before receiving the other leg.One settlement instruction pair: we pay one leg and receive the other.Stress testing and scenario analysis — the risk numbers VaR cannot give you, because VaR is calibrated to the recent past and a stress test deliberately is not.The reverse-stress answer: the most-probable shock vector and its distance.VaR model validation: do the exceptions (losses beyond VaR) occur at the promised rate, and independently?Portfolio Value-at-Risk, all four classic flavors over one input shape: factor EXPOSURES (currency P&L per unit factor return — a delta vector) against a factor covariance matrix or a factor-return history.Revalues the book under one scenario's factor moves.VaR and ES from Gaussian Monte Carlo factor scenarios.