Stress testing correlation matrices for risk management
Year of publication: |
2013
|
---|---|
Authors: | So, Mike K.P. ; Wong, Jerry ; Asai, Manabu |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 26.2013, C, p. 310-322
|
Publisher: |
Elsevier |
Subject: | Blocking | Optimization | Portfolio management | Value at Risk | Volatility |
-
Stress testing correlation matrices for risk management
So, Mike Ka-pui, (2013)
-
Inaccurate value at risk estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos, (2022)
-
Submodularity in conic quadratic mixed 0-1 optimization
Atamtürk, Alper, (2020)
- More ...
-
Stress testing correlation matrices for risk management
So, Mike Ka-pui, (2013)
-
Chen, Cathy W.S., (2019)
-
A multivariate long memory stochastic volatility model
So, Mike K.P., (2006)
- More ...