Related papers: How big should a Stress Shock be?
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation.…
Consider testing normality against a one-parameter family of univariate distributions containing the normal distribution as the boundary, e.g., the family of $t$-distributions or an infinitely divisible family with finite variance. We prove…
The skewness and the kurtosis of the baryon number distributions are computed within QCD-improved low energy effective models including quantum thermal and density fluctuations. The results are compared with the Beam Energy Scan experiment…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
Normal stresses in complex fluids lead to new flow phenomena because they can be comparable to or even larger than the shear stress itself. In addition, they are of paramount importance for formulating and testing constitutive equations for…
An identity between two versions of the Chernoff bound on the probability a certain large deviations event, is established. This identity has an interpretation in statistical physics, namely, an isothermal equilibrium of a composite system…
The stress concentration is a common phenomenon in the study of fluid-solid model. In this paper, we investigate the boundary gradient estimates and the second order derivatives estimates for the Stokes flow when the rigid particles…
It is shown that using Carter leak-off is an oversimplification that leads to significant errors in the interpretation of DFIT data. Most importantly, this article reveals that previous methods of estimating minimum in-situ stress often…
Rate-effects in sheared disordered solids are studied using molecular dynamics simulations of binary Lennard-Jones glasses in two and three dimensions. In the quasistatic (QS) regime, systems exhibit critical behavior: the magnitudes of…
This paper examines eight measures of skewness and Mardia measure of kurtosis for skew-elliptical distributions. Multivariate measures of skewness considered include Mardia, Malkovich-Afifi, Isogai, Song, Balakrishnan-Brito-Quiroz,…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
First and second kind modifications of usual confidence intervals for estimating the expectation and of usual local alternative parameter choices are introduced in a way such that the asymptotic behavior of the true non-covering…
In this paper a novel approach for a measurement of stresses in a capital, which induce the capital flows between economic systems, is proposed. The proposals appeal to an apparatus offered by the statistical theory of shape. We propose a…
The calculation of the stress field around an arbitrarily shaped crack in an infinite two-dimensional elastic medium is a mathematically daunting problem. With the exception of few exactly soluble crack shapes the available results are…
In this paper, we study the estimation of $R=P [Y < X ]$, also so-called the stress-strength model, when both $X$ and $Y$ are two independent random variables with the generalized linear failure rate distributions, under different…
Societal stress may cause far reaching political, economic and even geological effects. Nevertheless, it is still scarcely investigated, contrary to social stress, which an individual faces in their interactions within a society. It is…
Shock response spectrum (SRS) is a widely accepted method for shock testing specification. However, SRS, as a supremum, is over-conservative and cannot fully describe the relative severity for various shock environments. This study…
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
Demographic and health indicators may exhibit short or large short-term shocks; for example, armed conflicts, epidemics, or famines may cause shocks in period measures of life expectancy. Statistical models for estimating historical trends…