lookthrough-package: lookthrough: look-through the portfolio exposure

In shrektan/lookthrough: The Look-Through Approach for Exposures

Description

The portfolio may invest in collective investment undertakings (ICU) or investments packaged such as funds. In such case, only using the look-through approach can the managers have a true undertanding of the portfolio exposure. lookthrough is a simple package that helps you understand the exposure and calculate aggregated numbers.

Details

The implementation takes advantage of the data.tree package, which is suitable for this kind of problems. The users are supposed to be familiared with the data.tree package. For those who are not, I strongly suggest to skim the vignettes of data.tree (see the references below).

Author(s)

Maintainer: Xianying Tan [e-mail]

References

• Quick introduction to data.tree

• Example applications of data.tree

• Solvency II Information Note 9 - Look-through of Collective Investment Undertakings in template S.06.03

• Solvency II Look-Through

See Also

Useful links:

• https://github.com/shrektan/lookthrough

• Report bugs at https://github.com/shrektan/lookthrough/issues

shrektan/lookthrough documentation built on March 29, 2021, 12:07 p.m.