Solstice Functionality Overview
High level overview of the Solstice functionality
Solstice is a Simulation framework. In one sentence, given an initial configuration of some economic network it will simulate future states according to a range of possible scenarios and models and it will output the state of the network at future dates.
Econometric Models
An indicative list of econometric models and associated financial concepts implemented in Solstice
- Multiperiod - Macro Scenario Generator (VAR type)
- Single factor
- Equity type multifactor
- Macro-economic multi-factor
- Single Period - Markov Scenario Generator (Graph type)
- Conditional independence
- Contagion / network models
- Collateral Value Simulation
- Regulatory Capital Calculation
Calculation Methodologies
- monte carlo - simple
- monte carlo - with importance sampling
- asymptotic limit (large N)
- analytic functions
- moments / analytic approximations
- regulatory capital (ASFR)
Risk Metrics / Outputs
- rating distributions at different timepoints
- quantile loss result at [99.XX] / other distribution statistics
- results statistical errors / confidence levels
- expectations at future timepoints
- risk capital allocation
QUOTE: Solstice is still in active development. The functionality of the platform will be significantly enhanced in future versions. If you have specific requests / ideas please raise them in our GitHub repository.