Portfolio-level calculations stage 2

[joemoorhouse]

The second stage of the implementation of portfolio-level calculations, including risk analysis for companies.

• Handling of financial information needed for portfolio-level calculations
• Internal interface changes to pass around portfolio-level quantities
• Method for deriving scores from portfolio-level quantities
• API changes for outputting portfolio-level results
• Dealing with acute and chronic hazards; treatment of damage, revenue loss and operating cost increases

[joemoorhouse]

A comment on the change to the API. One design aim is to provide portfolio-level results. Portfolio here is a collection of assets treated together; in financial terms this could model a company/special purpose vehicle, pool of collateral, or a portfolio in the insurance sense. In general it is relevant to provide damage to assets, and disruption to business operations. The latter can include loss of revenue or increase in (operating) costs.

The proposal is therefore to add portfolio_impacts into the result, such that we have:

|-- asset_impacts
|-- portfolio_impacts
|-- risk_measures
      |-- measures_for_assets
      |-- measures_for_portfolio

Just like asset_impacts, portfolio_impacts will be (exceedance) probability distributions of damage/revenue loss/cost increase. This is verbose, but fine: there is only one portfolio; for large numbers of assets, asset_impacts would be switched off.

measures_for_assets is designed to be able to handle large numbers of assets on the other hand (results are provides as lists as opposed to a nested structure).

One question remains about drill-down by asset for portfolio results. In general this may be to follow the same pattern as measures_for_assets so as not to be too verbose.