General covariance, the spectrum of Riemannium and a stress test calculation formula

Piotr Chmielowski

Journal of Risk

Abstract: ABSTRACT The formula is motivated by some recent and some old developments in random matrix theory and a requirement that it be explicitly invariant under a change of basis of risk factors. It may naturally be interpreted 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 unobserved market risk factors. An example application for a relative-value portfolio of crude oil futures is presented.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-risk/2360424/gener ... -calculation-formula (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ4:2360424

Access Statistics for this article

More articles in Journal of Risk from Journal of Risk
Bibliographic data for series maintained by Thomas Paine ().