#
# test1.rls
#
# Recursive Lists (Rlist) data file. Just some arbitary data.
#
# $Writestamp: 2008-07-17 17:25:04 eh2sper$
#
{
data =
{
40060015 =
(
1005906,
Bund,
CBNA_2002_06,
USD,
"",
324,
"07/29/2002",
FALSE,
1.42, 12, .7,
-0, +00, # decimal constant, octal constant
.250000005610304,
"Real Estate\r"
);
comments = ("Sigma_hat = 0.541749 Changed_Sectors = 9.0 Adjusted_Diagonal_Variance / Diagonal_Variance = 1.612");
distributions =
{correlated =
{cumulation =
(0.233405053616,
0.3608058393,
1
);
probabilities = (0);
};
independent =
{cumulation =
(0.982457697392,
0.982560753822,
0.992290914059,
1,
1
);
probabilities =
(6.22435e-07,
7.0352e-08,
2.7e-11,
0
);
};
standard =
{cumulation =
(0.169049873948,
0.239400148392,
0.999999880791,
0.999999880791,
1
);
probabilities =
(7.08246e-07,
2.81639e-07,
0
);
};
};
economic-capital =
{correlated =
{expected-loss = 11482228;
quantiles =
{0.5 = -9811412;
0.75 = -4798962.5;
0.9 = 15489523;
0.95 = 62033696;
0.975 = 84231680;
0.99 = 153928592;
0.998 = 228876656;
0.999 = 274227392;
};
};
};
loss-unit = 238688.0625;
portfolio-id = RV15517;
sector-contributions =
{1 = (RDWAGR, 0);
10 = (RDWSOV, 5.4699627e-05);
11 = (RDWSUR, 0.00015764311);
12 = (RDWTRA, 0.006127817556);
13 = (RDWWHO, 8.8888381e-05);
14 = (DEUAGR, 0);
15 = (DEUCON, 1.4128904e-05);
};
};
calculation_info =
{
exit_code = 3;
numerical_precisions =
{
MVM =
{quantile_error_estimation = 0;
std_dev = 138869628.19904708862305;
std_dev_diff = 0.00471064271365;
true_EL_correlated_diff = 0.00062517100150;
};
};
};
configuration = (524288, MVM, QUASI, CRM_GF_PFA);
result =
{distributions =
{correlated =
{cumulation =
(0.00000000000000,
0.99993147152745,
0.99993152543388
);
};
};
economic-capital =
{analytical-expected-loss = (1074914515.82486724853516);
correlated =
{expected-loss = 1074242510.44048714637756;
quantiles =
{0.5000 = -197395799.82486724853516;
0.7500 = 288180562.17513275146484;
0.9000 = 932214476.17513275146484;
0.9750 = 1953785512.17513275146484;
0.9900 = 2676447984.17513275146484;
0.9980 = 4005930854.17513275146484;
0.9995 = 5202165328.17513275146484;
0.9999 = 6632484822.17513275146484;
};
};
};
loss-unit = 600218;
};
writestamp = "2006/08/20";
merton =
{configuration =
{systematic-risk-factors-correlation-matrix =
((0.0000000000000000, 1.0000000000000000, 0.5105877520000000, 0.8092702030000000, 0.8436679840000000, 0.8452265860000000, 0.9161016940000000, 0.7172122600000000, 0.8603857160000000, 0.9648076300000000, 0.3598884340000000, 0.8275523190000000, 0.9046206470000000, 0.9098579290000000, 0.9086135030000000, 0.9653897290000000, 0.9645905490000000, 0.9606300000000000, 0.3648801740000000, 0.5590994360000000, 0.7740225790000000, 0.9572183490000000, 0.8891297580000000, 0.7673205730000000, 0.9251474140000000, 0.7642430660000000, 0.9757446050000000, 0.6557938460000000, 0.5363342760000000, 0.6452584270000000, 0.6851172450000000, 0.4384211000000000, 0.6878139970000000, 0.3946054580000000, 0.4990116060000000, 0.7249096630000000, 0.7249810700000000, 0.7249815460000000, 0.6638210420000000, 0.1199750970000000, 0.4904031160000000, 0.4947025180000000, 0.2148507540000000, 0.5952513220000000, 0.2892362480000000, 0.6100389360000000, 0.2188026160000000, 0.4426016210000000, 0.4462646840000000, 0.4463299510000000, 0.4463497400000000, 0.4620511230000000, 0.1580299880000000, 0.3391389850000000, 0.3655885460000000, 0.5554839970000000, 0.4733470380000000, 0.2724892200000000, 0.3821340200000000, 0.2948343160000000, 0.3527632950000000, 0.3989898860000000, 0.3989833000000000, 0.3988411720000000, 0.2665436270000000, 0.2618035080000000),
(0.0000000000000000, 0.2618035080000000, 0.4236675800000000, 0.3346945940000000, 0.4274556930000000, 0.4159248470000000, 0.4262886640000000, 0.2931315000000000, 0.2192655800000000, 0.0000000000000000, 0.3463421170000000, 0.4270243940000000, 0.4170356990000000, 0.4267343280000000, 0.4260331090000000, 0.3270677030000000, 0.1482832580000000, 0.4168486000000000, 0.2790359260000000, 0.4171338380000000, 0.3019327520000000, 0.1093717660000000, 0.4168583750000000, 0.4193084840000000, 0.4370918570000000, 0.4161733390000000, 0.4165772800000000, 0.3232685330000000, 0.2493497730000000, 0.4639768900000000, 0.3447153570000000, 0.1875969320000000, 0.4237175880000000, 0.1926465930000000, 0.2135261300000000, 0.3204623460000000, 0.3201101120000000, 0.3200692240000000, 0.3454974290000000, 0.2185415630000000, 0.2014275190000000, 0.2332813890000000, 0.0778108980000000, 0.5260738730000000, 0.1645681860000000, 0.5031579140000000, 0.1054019110000000, 0.2649949490000000, 0.2609534860000000, 0.2609190050000000, 0.2608881000000000, 0.3202337920000000, 0.1731100080000000, 0.5133942370000000, 0.2341874240000000, 0.5562170740000000, 0.4704649150000000, 0.3765202760000000, 0.4232372640000000, 0.3783917730000000, 0.4430530370000000, 0.5447870490000000, 0.5447589160000000, 0.5446520450000000, 0.5160546300000000, 1.0000000000000000));
verbose = N;
};
};
result =
{economic-capital =
{expected-loss =
{analytical = 910343012.72376215457916;
default-only = 910343012.72376215457916;
distributional = 0;
simulated = 803432967.19825541973114;
};
quantiles =
{0.50000000000000 = -516082284.67737829685211;
0.80000000000000 = 136267923.34307658672333;
0.90000000000000 = 780239832.44141399860382;
0.95000000000000 = 1733653473.85154962539673;
0.99000000000000 = 7726753720.37476539611816;
0.99950000000000 = -910343012.72376215457916;
};
unexpected-shortfall = 0;
};
};
writestamp = "2007/08/14";
# Quotes
quotes =
(
<<___,
You can make more friends in two months by becoming interested in other people
than you can in two years by trying to get other people interested in you.
Dale Carnegie
___
"I know three things will never be believed - the true, the probable, and the logical. John Steinbeck",
<<___,
If you have an apple and I have an apple and we exchange apples then you and I
will still each have one apple. But if you have an idea and I have an idea and
we exchange these ideas, then each of us will have two ideas. George Bernhard Shaw
___
<<___,
Imagination is the beginning of creation. You imagine what you desire, you will
what you imagine and at last you create what you will. George Bernhard Shaw
___
<<___,
I often quote myself. I find it adds spice to the conversation. George Bernhard Shaw
___
<<___
Our solar system consists of one star and some debris.
Mass distribution in our solar system:
Sun 99,865%.
Planets 0,134% (Jupiter 0,1%)
Moons 0,00004%
Cometes 0,00003%
Asteroids 0,0000003%
Carl Sagan
___
);
latin =
{
"Audiatur et altera pars!" =
"Es m\366ge auch die andere Seite geh\366rt werden.";
"Memento mori" =
"Bedenke, dass du sterben wirst.";
"Nosce te ipsum." = "Erkenne dich selbst!";
};
}