一般协方差、黎曼谱和压力测试计算公式

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2013-06-09 DOI:10.2139/ssrn.2257592

Piotr Chmielowski

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引用次数: 0

摘要

本文提出了一个投资组合市场压力测试公式。该公式是由随机矩阵理论的一些最新和旧的发展，并要求它是显式不变的变化的基础上的风险因素。它有一个自然的解释，即标准偏差受到两种效应的压力:由于有限样本估计的不确定性而产生的相关剪切和由于未观察到的市场风险因素而产生的附加应力。给出了原油期货相对价值投资组合的一个应用实例。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

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.