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.
In this segment we list a few suggestions of how to get started with Solstice. As the platform offers rich functionality what is relevant and optimal will vary for different users.
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.
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.