英文标题：
《How big should a Stress Shock be?》
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作者：
David G Maher
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最新提交年份：
2019
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英文摘要：
Stress shocks are often calculated as multiples of the standard deviation of a history set. This paper investigates how many standard deviations are required to guarantee that this shock exceeds any observation within the history set, given the additional constraint of kurtosis. The results of this analysis are then used to validate the shocks produced by some stress test models, in particular that of Brace-Lauer-Rado. A secondary application of our results is to investigate three known extensions of Chebyshev\'s Inequality where the kurtosis is known. It is found that our results give a tighter bound than the well-known inequalities.
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中文摘要：
应力冲击通常计算为历史数据集标准偏差的倍数。本文研究了在峭度的附加约束下，需要多少标准差才能保证该冲击超过历史集内的任何观测值。然后，使用该分析的结果来验证一些应力测试模型产生的冲击，尤其是支撑Lauer-Rado产生的冲击。我们结果的第二个应用是研究切比雪夫不等式的三个已知扩展，其中峰度已知。我们发现，我们的结果给出了一个比已知不等式更紧的界。
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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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