equity: Constructing an Equity (Risk Factor)

Description Usage Arguments Value Examples

View source: R/riskFactor.R

Description

Constructor for the S3 class equity. It allows to define an equity-type risk factor. This risk factor refers to the "Preisrisikofaktor" change Δ RF_{t,i} for a certain index i in the valuation function for "Aktiven mit direkt marktabhängigen Preisen" presented in the FINMA document "SST-Marktrisiko und -Aggregation Technische Beschreibung".

Usage

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Arguments

name

a character value of length one. This corresponds to the name in the covariance matrix of the marketRisk to which the equity risk factor is mapped. This means that the risk factor change Δ RF_{t,i} 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).

type

a character value of length one. The type of equity. (e.g. "equity", "hedge fund", etc.). This parameter is a unique identifier of the equity risk factor corresponding to the index i introduced above. The following words are reserved and should not be used:

  • currency

  • rate

  • pcRate

  • spread

currency

a character value of length one. The currency in which the underlying asset with direct market price ("Aktiv mit direkt marktabhängigen Preisen") is valuated. This refers to the currency corresponding to the index j 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 equity.

Examples

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# constructing a non-scaled equity risk factor
# (assuming "MSCI_CHF" exists in marketRisk).
e <- equity(name = "MSCI_CHF",
            type = "equity",
            currency = "CHF")

# constructing a scaled equity risk factor
# (assuming "MSCI_CHF" exists in marketRisk).
e <- equity(name = "MSCI_CHF",
            type = "equity",
            currency = "CHF",
            scale = 0.5)

sstModel documentation built on May 4, 2018, 1:04 a.m.