EWaGI-Model/Credit.java at main · pharting/EWaGI-Model · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
package eWAGI_Firms;

public class Credit {

	int creditorID;
	int bankID;

	double initialDebtLevel;
	double currentDebtLevel;
	double exposureAtRisk;
	double interestRate;
	double interestPayment;
	double installmentPayment;
	int repaymentPeriod;
	double riskOfDefault;
	double collateral=0;
	double expectedLossGivenDefault = 1.0;
	boolean restructuring = false;
	boolean restructured = false;
	boolean defaulted = false;
	boolean justGranted = true;
	int debtRestructuringCounter;

	double interestRateMonthly;

	int iterationPerYear = 12;

	double v =0.1;


	BalanceSheet balanceSheetFirm;


	Credit(int creditorID,int bankID, double initialDebtLevel, double interestRate, int repaymentPeriod, BalanceSheet balanceSheetFirm ){

		this.initialDebtLevel = initialDebtLevel;

		this.currentDebtLevel = initialDebtLevel;

		this.interestRate = interestRate;

		this.interestRateMonthly = interestRate/iterationPerYear;

		this.installmentPayment = 0;

		this.riskOfDefault = 0.0;

		this.balanceSheetFirm = balanceSheetFirm;

		this.repaymentPeriod = repaymentPeriod;

		if(repaymentPeriod > 0) {

			this.installmentPayment = initialDebtLevel / (1.0*repaymentPeriod);

		}


	}


void riskAssesment() {

		if(balanceSheetFirm.equity>0)
			riskOfDefault = Math.max(3e-4,1- Math.exp(-v*(balanceSheetFirm.liabilities.totalDebt)/balanceSheetFirm.equity));
		else
			riskOfDefault = 1.0;

		exposureAtRisk = riskOfDefault*expectedLossGivenDefault*currentDebtLevel;


	}


}