Leon, A.; Peris, J. E.; Silva, J.; Subiza, B. - In: Applied Mathematical Finance 9 (2002) 1, pp. 61-67
A new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense that it alters as...
