英文标题：
《A factor-model approach for correlation scenarios and correlation
stress-testing》
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作者：
Natalie Packham and Fabian Woebbeking
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最新提交年份：
2019
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英文摘要：
In 2012, JPMorgan accumulated a USD~6.2 billion loss on a credit derivatives portfolio, the so-called `London Whale\', partly as a consequence of de-correlations of non-perfectly correlated positions that were supposed to hedge each other. Motivated by this case, we devise a factor model for correlations that allows for scenario-based stress testing of correlations. We derive a number of analytical results related to a portfolio of homogeneous assets. Using the concept of Mahalanobis distance, we show how to identify adverse scenarios of correlation risk. In addition, we demonstrate how correlation and volatility stress tests can be combined. As an example, we apply the factor-model approach to the \"London Whale\" portfolio and determine the value-at-risk impact from correlation changes. Since our findings are particularly relevant for large portfolios, where even small correlation changes can have a large impact, a further application would be to stress test portfolios of central counterparties, which are of systemically relevant size.
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中文摘要：
2012年，摩根大通在所谓的“伦敦鲸”信用衍生品投资组合上累积了约62亿美元的损失，部分原因是原本应该相互对冲的非完全相关头寸的相关性降低。基于这种情况，我们设计了一个相关因素模型，允许基于情景的相关性压力测试。我们得出了许多与同质资产组合相关的分析结果。利用马氏距离的概念，我们展示了如何识别相关风险的不利情景。此外，我们还演示了如何将相关性和波动性压力测试结合起来。例如，我们将因子模型方法应用于“伦敦鲸”投资组合，并确定相关性变化对风险价值的影响。由于我们的研究结果与大型投资组合尤其相关，即使是较小的相关性变化也会产生较大的影响，因此进一步的应用将是对具有系统相关规模的中央交易对手的投资组合进行压力测试。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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