public void TestLargestLGDFiltration()
{
CounterpartyRiskInput input = GetInput();
CounterpartyRisk risk = new CounterpartyRisk();
CounterpartyRiskOutput output = risk.GetCounterpartyRisk(input);
string[] top10Names = { "Name 11", "Name 13", "Name 1", "Name 12", "Name 2", "Name 7", "Name 14",
"Name 8", "Name 9", "Name 10" };
double[] top10LGD = { 138768931, 27167922, 27089285, 16004884, 8198016, 6666523, 1322415,
236903, 233175, 148366, 83961, 48854, 22761, 20375 };
Queue <CounterpartDTO> largestCounterparts = new Queue <CounterpartDTO>();
foreach (CounterpartDTO counterpart in output.LargestCounterparts.OrderByDescending(c => c.TotalLGD).ToList())
{
largestCounterparts.Enqueue(counterpart);
}
for (int i = 0; i < 10; i++)
{
CounterpartDTO nextCounterpart = largestCounterparts.Dequeue();
Assert.AreEqual(top10Names[i], nextCounterpart.Name);
double delta = GetDelta(nextCounterpart.TotalLGD);
Assert.AreEqual(top10LGD[i], nextCounterpart.TotalLGD, delta);
}
}
public void TestModule()
{
CounterpartyRiskInput input = GetInput();
CounterpartyRisk risk = new CounterpartyRisk();
CounterpartyRiskOutput output = risk.GetCounterpartyRisk(input);
double TotalK = 153268358.287;
double delta = GetDelta(TotalK);
Assert.AreEqual(TotalK, output.TotalLossPotentialCounterPartyRisk, delta);
}
public CounterpartyRiskOutput GetCounterpartyRisk(CounterpartyRiskInput input)
{
List <Contract> Contracts = RefineDTOContracts(input);
input.Parameters.SumReinsurersShareSimplified = CalcSumReinsurersShareSimplified(input);
AggregatedMeasures measures = AggregateMeasuresOnRating(Contracts);
CounterpartyRiskCalculator calculator = new CounterpartyRiskCalculator();
CounterpartyRiskOutput output = calculator.CalculateCounterpartyRisk(measures, input.Parameters);
ContractsFilter filter = new ContractsFilter();
List <CounterpartDTO> largestCounterparts = filter.FilterCounterpartsOnLGD(Contracts);
output.LargestCounterparts = largestCounterparts;
return(output);
}
public List <Contract> RefineDTOContracts(CounterpartyRiskInput input)
{
List <Contract> contracts = new List <Contract>();
foreach (ContractDTO contract in input.Contracts)
{
if (contract.ContractType == ContractType.CashDeposits)
{
contracts.Add(new CashDepositContract(contract, input.Parameters));
}
if (contract.ContractType == ContractType.Derivative)
{
contracts.Add(new DerivativeContract(contract, input.Parameters));
}
if (contract.ContractType == ContractType.Reinsurance)
{
contracts.Add(new ReinsuranceContract(contract, input.Parameters));
}
}
return(contracts);
}
private CounterpartyRiskInput GetInput()
{
CounterpartyRiskInput input = new CounterpartyRiskInput();
input.Contracts = new List <ContractDTO>();
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Reinsurance, Counterpart = new CounterpartDTO()
{
Name = "Name 1", Rating = 2
}, MarketValueOfCollateral = 100000, ReinsuranceShare = 755600, StandardRE = 200000, UseSimplifiedCalculation = false, UseCollateralAgreement = true
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Reinsurance, Counterpart = new CounterpartDTO()
{
Name = "Name 2", Rating = 3
}, MarketValueOfCollateral = 43000, ReinsuranceShare = 58300, UseSimplifiedCalculation = true, UseCollateralAgreement = false
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Reinsurance, Counterpart = new CounterpartDTO()
{
Name = "Name 3", Rating = 1
}, MarketValueOfCollateral = 25000, ReinsuranceShare = 36400, UseSimplifiedCalculation = true, UseCollateralAgreement = true
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Reinsurance, Counterpart = new CounterpartDTO()
{
Name = "Name 4", Rating = 8
}, MarketValueOfCollateral = 21000, ReinsuranceShare = 27500, StandardRE = 58000, UseSimplifiedCalculation = false, UseCollateralAgreement = false
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Reinsurance, Counterpart = new CounterpartDTO()
{
Name = "Name 5", Rating = 7
}, MarketValueOfCollateral = 14000, ReinsuranceShare = 21100, UseSimplifiedCalculation = true, UseCollateralAgreement = true
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Reinsurance, Counterpart = new CounterpartDTO()
{
Name = "Name 6", Rating = 9
}, MarketValueOfCollateral = 13000, ReinsuranceShare = 19400, UseSimplifiedCalculation = true, UseCollateralAgreement = false
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.CashDeposits, Counterpart = new CounterpartDTO()
{
Name = "Name 1", Rating = 2
}, MarketValueOfCollateral = 16483913
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.CashDeposits, Counterpart = new CounterpartDTO()
{
Name = "Name 2", Rating = 3
}, MarketValueOfCollateral = 8131090
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.CashDeposits, Counterpart = new CounterpartDTO()
{
Name = "Name 7", Rating = 1
}, MarketValueOfCollateral = 736756
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.CashDeposits, Counterpart = new CounterpartDTO()
{
Name = "Name 8", Rating = 2
}, MarketValueOfCollateral = 236903
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.CashDeposits, Counterpart = new CounterpartDTO()
{
Name = "Name 9", Rating = 3
}, MarketValueOfCollateral = 233175
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.CashDeposits, Counterpart = new CounterpartDTO()
{
Name = "Name 10", Rating = 1
}, MarketValueOfCollateral = 148366
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Derivative, Counterpart = new CounterpartDTO()
{
Name = "Name 1", Rating = 2
}, MarketValueNotRRC = 150000, MarketValueRRC = 1905592, MarketValueOfCollateral = 100000, StandardRE = 8955889
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Derivative, Counterpart = new CounterpartDTO()
{
Name = "Name 7", Rating = 1
}, MarketValueNotRRC = 141000, MarketValueRRC = 5980778, MarketValueOfCollateral = 120000, StandardRE = 516852
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Derivative, Counterpart = new CounterpartDTO()
{
Name = "Name 11", Rating = 6
}, MarketValueNotRRC = 151000000, MarketValueRRC = 799247, MarketValueOfCollateral = 130000, StandardRE = 2442621
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Derivative, Counterpart = new CounterpartDTO()
{
Name = "Name 12", Rating = 5
}, MarketValueNotRRC = 15000, MarketValueRRC = 313280, MarketValueOfCollateral = 140000, StandardRE = 17513258
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Derivative, Counterpart = new CounterpartDTO()
{
Name = "Name 13", Rating = 4
}, MarketValueNotRRC = 15100, MarketValueRRC = 295760, MarketValueOfCollateral = 150000, StandardRE = 29938221
});
input.Contracts.Add(new ContractDTO()
{
ContractType = ContractType.Derivative, Counterpart = new CounterpartDTO()
{
Name = "Name 14", Rating = 0
}, MarketValueNotRRC = 10000, MarketValueRRC = 95309, MarketValueOfCollateral = 60000, StandardRE = 1389041
});
Parameters parameters = new Parameters()
{
LossPotentialWithoutReinsurance = 2000000,
LossPotentialWithReinsurance = 1500000,
SumReinsurersShareSimplified = 135200,
EconomicFactorCollateral = 0.375,
EconomicFactorNonCollateral = 0.375,
EconomicFactorDerivative = 0.375,
SumTypeTwoExposure = 1000000,
SumReceivableOverdue = 500000,
MortgageValue = 525000,
};
input.Parameters = parameters;
return(input);
}
private double CalcSumReinsurersShareSimplified(CounterpartyRiskInput input)
{
return(input.Contracts.Where(c => c.ContractType == ContractType.Reinsurance && c.UseSimplifiedCalculation).Sum(c => c.ReinsuranceShare));
}
