Boundaries of Correlation Adjustment with Applications to Financial Risk Management

Autor:	Kornkanok Bunwong, Kawee Numpacharoen
Rok vydání:	2013
Předmět:	Computer science Covariance matrix Applied Mathematics Process (computing) Financial risk management Stress testing (software) Upper and lower bounds Correlation Matrix (mathematics) Statistics Econometrics Risk assessment Finance Mathematics
Zdroj:	Applied Mathematical Finance. 20:403-414
ISSN:	1466-4313 1350-486X
Popis:	In recent years, stress testing has become a regulatory requirement for risk assessment in financial institutions. To perform stress testing in multi-asset case, adjusting the correlation matrix to an extreme level is an important process. With a larger matrix, it is more difficult to choose the right correlation coefficients such that the newly adjusted correlation matrix is still valid. In this article, we present a systematic way to obtain the boundaries of a correlation matrix for both single stress and multiple stress cases, which can help determine how much the correlation should be adjusted in the first place.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::093d86ad66b5984371c8d3cb43654d37 https://doi.org/10.1080/1350486x.2012.723517 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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