sstModel: spread – R documentation

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spread

Constructing a Spread (Risk Factor)

Description

Constructor for the S3 class spread. It allows to define a spread-type risk factor. This risk factor refers to the "Modell-Spread" change Δ S(1,j,r) for a certain index rating r and a certain currency j in the valuation function for "Fixed-Income-Assets und Versicherungsverpflichtungen" at page 6 in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

spread(name, currency, rating, scale = NULL)

Arguments

`name`	a character value of length one. This corresponds to the name in the covariance matrix of the `marketRisk` to which the spread risk factor is mapped. This means that the risk factor change Δ S(1,j,r) in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung" will be assumed to be modeled by the underlying normal random variable corresponding to `name` in the covariance matrix (potentially scaled by `scale` if not `NULL`).
`currency`	a character value of length one. The currency in which the underlying "Fixed-Income-Assets oder Versicherungsverpflichtungen" is valuated. This refers to the currency corresponding to the index `j` in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung" (version 31.1.2018).
`rating`	a character value of length one. The corresponding rating of the spread refering to the index `r` at in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".
`scale`	a numeric value of length one. If not set `NULL`, this defines a scaled risk factor equal to `scale` times the risk factor defined by `name` in the covariance matrix contained in `marketRisk`. By default its value is `scale = NULL`.

Value

An S3 object, instance of the class spread.

Examples

# constructing a non-scaled spread risk factor
# (assuming "AA_EUR_Spread" exists in marketRisk).

e <- spread(name     = "AA_EUR_Spread",
            rating   = "AA",
            currency = "EUR")
# constructing a scaled spread risk factor
# (assuming "AA_EUR_Spread" exists in marketRisk).

e <- spread(name     = "AA_EUR_Spread",
            rating   = "AA",
            currency = "EUR",
            scale    = 0.5)

sstModel

Swiss Solvency Test (SST) Standard Models

v1.0.0

GPL-3 + file LICENSE

Authors

Loris Michel [aut], Melvin Kianmanesh Rad [aut], Adrien Lamit [aut], Michael Schmutz [cre], Swiss Financial Market Supervisory Authority FINMA [cph]

Initial release