Related papers: How big should a Stress Shock be?

Kurtosis is seen as a measure of the discrepancy between the observed data and a Gaussian distribution and is defined when the 4th moment is finite. In this work an empirical study is conducted to investigate the behaviour of the sample…

Distributions of strictly positive numbers are common and can be characterized by standard statistical measures such as mean, standard deviation, and skewness. We demonstrate that for these distributions the skewness $D_3$ is bounded from…

Skewness and kurtosis are fundamental statistical moments commonly used to quantify asymmetry and tail behavior in probability distributions. Despite their widespread application in statistical mechanics, condensed matter physics, and…

Stress is among the most commonly employed quality metrics and optimization criteria for dimension reduction projections of high dimensional data. Complex, high dimensional data is ubiquitous across many scientific disciplines, including…

Kurtosis minus squared skewness is bounded from below by 1, but for unimodal distributions this parameter is bounded by 189/125. In some applications it is natural to compare distributions by comparing their kurtosis-minus-squared-skewness…

We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers…

This paper provides three results for SVARs under the assumption that the primitive shocks are mutually independent. First, a framework is proposed to accommodate a disaster-type variable with infinite variance into a SVAR. We show that the…

Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…

This work proposes an augmented variant of DebtRank with uncertainty intervals as a method to investigate and assess systemic risk in financial networks, in a context of incomplete data. The algorithm is tested against a default contagion…

There was an error in data reduction, resulting in incorrect values for the normal stress differences $N_1$ and $N_2$ shown in Figs. 7-10, and the corrected figures are shown here. In particular, the algebraic sign of $N_1$ is changed, as…

The thermodynamic uncertainty relation is a prominent result in stochastic thermodynamics that provides a bound on the fluctuations of any thermodynamic flux, also known as current, in terms of the average rate of entropy production. Such…

The Kuramoto-Sivashinsky equation with fixed boundary conditions is numerically studied. Shocklike structures appear in the time-averaged patterns for some parameter range of the boundary values. Effective diffusion constant is estimated…

We consider the problem of testing multivariate normality when the data consists of a random sample of two-step monotone incomplete observations. We define for such data a generalization of Mardia's statistic for measuring kurtosis, derive…

We propose a hypothesis test that allows for many tested restrictions in a heteroskedastic linear regression model. The test compares the conventional F statistic to a critical value that corrects for many restrictions and conditional…

The stress of a vertex in a graph is the number of geodesics passing through it (A. Shimbel, 1953). A graph is $k$-stress regular if stress of each of its vertices is $k$. In this paper, we investigate some results and compute stress of…

We derive new approximations for the Value at Risk and the Expected Shortfall at high levels of loss distributions with positive skewness and excess kurtosis, and we describe their precisions for notable ones such as for exponential, Pareto…

Interpreting experimental data in high school experiments can be a difficult task for students, especially when there is large variation in the data. At the same time, calculating the standard deviation poses a challenge for students. In…

We use an integral analysis of conservation equations of mass and energy, to determine the drop size and distributions during shock-induced drop break-up. The result is an updated form for the drop size as a function of its final velocity,…

We introduce a new discrepancy score between two distributions that gives an indication on their similarity. While much research has been done to determine if two samples come from exactly the same distribution, much less research…

Every human action begins with decision-making. Stress is a significant source of biases that can influence human decision-making. In order to understand the relationship between stress and decision-making, stress quantification is…