Package index • trisk.model

All functions

calculate_asset_value_at_risk(): Calculate percentage value change between scenarios for equity (and temporarily other asset types) on the company-technology level

calculate_net_profits(): Calculates annual net profits on the company-technology level for the baseline and late and sudden scenarios. Climate laggards which need to build out their production in increasing technologies to compensate for their missed targets, are "punished" by adjusting the net profit margin on their additional build out based on their proximity to target within the given technology. Specifically, we measure the ratio of how much of the required build out or reduction in a technology the company will have done at the end of the forecast period. If the technology has an increasing target and the ratio of completion is below one, the net_profit_margin on the additional production build out is multiplied with the proximity to the target. This approximates the additional capital investment such a company would have to make in a short time, which leads to added costs. This ensures that late build out will not proportionally translate into increased profits.

calculate_net_profits_baseline(): Calculates annual net profits on the company-technology level for the baseline scenario

calculate_net_profits_shock_declining_technologies_carbon_tax(): Calculates annual net profits on the company-technology level for the baseline and late and sudden scenarios - with a carbon tax being added.

calculate_net_profits_shock_increasing_technologies(): Calculates annual net profits on the company-technology level for the shock scenario for increasing technologies. Climate laggards which need to build out their production in increasing technologies to compensate for their missed targets, are "punished" by adjusting the net profit margin on their additional build out based on their proximity to target within the given technology. Specifically, we measure the ratio of how much of the required build out or reduction in a technology the company will have done at the end of the forecast period. If the technology has an increasing target and the ratio of completion is below one, the net_profit_margin on the additional production build out is multiplied with the proximity to the target. This approximates the additional capital investment such a company would have to make in a short time, which leads to added costs. This ensures that late build out will not proportionally translate into increased profits.

calculate_pd_change_overall(): Calculate change in probabilities of default (PDs) of loans connected to companies at hand. This is based on the equity values derived from the DCF model. Said Equity values are used as different starting points for the Merton model (one reflecting the business as usual baseline scenario, the other reflecting the late & sudden shock scenario). The change in PDs can then be used to calculate the Expected Loss due to the shock on the portfolio level.

check_valid_financial_data_values(): Check if values in financial data are plausible

dividend_discount_model(): Calculates discounted net profits based on a dividends discount model

extend_assets_trajectories(): Calculate baseline and transition shock trajectoroes

keep_merton_compatible_rows(): Keep rows that fulfill constraints of the merton model

read_financial_data(): Read in company financial data processed from eikon exports and AR master data that contain information on multiple credit risk inputs

set_baseline_trajectory(): Defines which scenario values to use for the baseline trajectory in the stress test.

set_trisk_trajectory(): Defines which scenario values to use for the late & sudden trajectory in the stress test.

validate_data_has_expected_cols(): Validate that a data frame contains expected columns