{"title":"一般协方差、黎曼谱和压力测试计算公式","authors":"Piotr Chmielowski","doi":"10.2139/ssrn.2257592","DOIUrl":null,"url":null,"abstract":"This article proposes a formula for a market stress-test of a portfolio. The formula is motivated by some recent and old developments in random matrix theory and a requirement that it be explicitly invariant under a change of basis of risk factors. It has a natural interpretation as the standard deviation stressed by two effects: a correlation shear due to uncertainty of estimation from a finite sample and an additional stress due to the unobserved market risk factors. An example application for a relative-value portfolio of crude oil futures is presented.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2013-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"General Covariance, the Spectrum of Riemannium and a Stress Test Calculation Formula\",\"authors\":\"Piotr Chmielowski\",\"doi\":\"10.2139/ssrn.2257592\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article proposes a formula for a market stress-test of a portfolio. The formula is motivated by some recent and old developments in random matrix theory and a requirement that it be explicitly invariant under a change of basis of risk factors. It has a natural interpretation as the standard deviation stressed by two effects: a correlation shear due to uncertainty of estimation from a finite sample and an additional stress due to the unobserved market risk factors. An example application for a relative-value portfolio of crude oil futures is presented.\",\"PeriodicalId\":46697,\"journal\":{\"name\":\"Journal of Risk\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2013-06-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Risk\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2257592\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Risk","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.2257592","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
General Covariance, the Spectrum of Riemannium and a Stress Test Calculation Formula
This article proposes a formula for a market stress-test of a portfolio. The formula is motivated by some recent and old developments in random matrix theory and a requirement that it be explicitly invariant under a change of basis of risk factors. It has a natural interpretation as the standard deviation stressed by two effects: a correlation shear due to uncertainty of estimation from a finite sample and an additional stress due to the unobserved market risk factors. An example application for a relative-value portfolio of crude oil futures is presented.
期刊介绍：
This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.
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