Solstice User Manual

Solstice is an economic network simulation framework. The primary outcomes are quantitative analyses of the behavior of economic systems under uncertainty. It can be used both as a production tool in a portfolio / risk management context or as a research tool. The objective is to provide a performant, easily usable, extensible simulation framework to support economic network analysis.

This page is the root of the Solstice User Documentation. Mathematical documentation is provided elsewhere. Code documentation is embedded in the code and is provided within the distribution.

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 multi-factor
  • 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

NOTE: Solstice is still in active development. As the functionality of the platform is enhanced, the documentation will be enriched and updated, following also user feedback.