Related papers: How big should a Stress Shock be?
Noise is an unavoidable part of most measurements which can hinder a correct interpretation of the data. Uncertainties propagate in the data analysis and can lead to biased results even in basic descriptive statistics such as the central…
We study the distributions of earthquake numbers in two global catalogs: Global Centroid-Moment Tensor and Preliminary Determinations of Epicenters. These distributions are required to develop the number test for forecasts of future seismic…
The commonly cited rule of thumb for regression analysis, which suggests that a sample size of $n \geq 30$ is sufficient to ensure valid inferences, is frequently referenced but rarely scrutinized. This research note evaluates the lower…
Complex, high-dimensional data is ubiquitous across many scientific disciplines, including machine learning, biology, and the social sciences. One of the primary methods of visualizing these datasets is with two-dimensional scatter plots…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
It is quite common in modern research, for a researcher to test many hypotheses. The statistical (frequentist) hypothesis testing framework, does not scale with the number of hypotheses in the sense that naively performing many hypothesis…
Multivariate elliptically-contoured distributions are widely used for modeling correlated and non-Gaussian data. In this work, we study the kurtosis of the elliptical model, which is an important parameter in many statistical analysis.…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
Central moments and cumulants are often employed to characterize the distribution of data. The skewness and kurtosis are particularly useful for the detection of outliers, the assessment of departures from normally distributed data,…
The distance standard deviation, which arises in distance correlation analysis of multivariate data, is studied as a measure of spread. The asymptotic distribution of the empirical distance standard deviation is derived under the assumption…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
Robustness checks are routine in empirical work, but there is no standard statistical procedure to formally measure what one can learn from them. I propose a "robustness radius" measure to quantify the amount by which the robustness checks…
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…
The article reports a numerical investigation of the breakdown of a disordered system considering the effect of local stress concentration under the action of an external tensile force. The statistics of the record-breaking magnitudes of…
External or internal shocks may lead to the collapse of a system consisting of many agents. If the shock hits only one agent initially and causes it to fail, this can induce a cascade of failures among neighoring agents. Several critical…
We propose a computational method for large deviation statistics of time-averaged quantities in general Markov processes. In our proposed method, we repeat a response measurement against external forces, where the forces are determined by…
Perturbation analysis of Markov chains provides bounds on the effect that a change in a Markov transition matrix has on the corresponding stationary distribution. This paper compares and analyzes bounds found in the literature for finite…
In this work, inspired by the Archer-Mouy-Selmi approach, we present two methodologies for scoring the stress test scenarios used by CCPs for sizing their Default Funds. These methodologies can be used by risk managers to compare different…
In this article, inferences about the multicomponent stress strength reliability are drawn under the assumption that strength and stress follow independent Pareto distribution with different shapes $(\alpha_1,\alpha_2)$ and common scale…
When fits of the same physical model to two different datasets disagree, we call this tension. Several apparent tensions in cosmology have occupied researchers in recent years, and a number of different metrics have been proposed to…