英文标题：
《A Triptych Approach for Reverse Stress Testing of Complex Portfolios》
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作者：
Pascal Traccucci, Luc Dumontier, Guillaume Garchery and Benjamin Jacot
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最新提交年份：
2019
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英文摘要：
The quest for diversification has led to an increasing number of complex funds with a high number of strategies and non-linear payoffs. The new generation of Alternative Risk Premia (ARP) funds are an example that has been very popular in recent years. For complex funds like these, a Reverse Stress Test (RST) is regarded by the industry and regulators as a better forward-looking risk measure than a Value-at-Risk (VaR). We present an Extended RST (ERST) triptych approach with three variables: level of plausibility, level of loss and scenario. In our approach, any two of these variables can be derived by providing the third as the input. We advocate and demonstrate that ERST is a powerful tool for both simple linear and complex portfolios and for both risk management as well as day-to-day portfolio management decisions. An updated new version of the Levenberg - Marquardt optimization algorithm is introduced to derive ERST in certain complex cases.
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中文摘要：
对多元化的追求导致了越来越多的复杂基金，它们拥有大量的策略和非线性回报。新一代另类风险溢价（ARP）基金就是近年来非常流行的一个例子。对于这类复杂的基金，行业和监管机构认为反向压力测试（RST）比风险价值（VaR）更具前瞻性。我们提出了一种具有三个变量的扩展RST（ERST）三联法：合理性水平、损失水平和情景。在我们的方法中，通过提供第三个变量作为输入，可以导出其中的任意两个变量。我们提倡并证明，ERST对于简单的线性和复杂的投资组合以及风险管理和日常投资组合管理决策都是一个强大的工具。介绍了一种更新的新版本的Levenberg-Marquardt优化算法，以推导某些复杂情况下的ERST。
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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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