We present a new technique for obtaining a positive definite (PD) correlation matrix from a stressed target matrix within the context of Advanced Stressed Value at Risk, (cf. Dash ). The technique uses the spherical decomposition and a “nearest neighbor” technique. The advantage is that...

In order to characterize a statistical probability distribution p(x) of a variable x, the moments of the distribution are used; the first two of which are the mean and standard deviation. The z-score is often used to characterize data points of x (e.g. outliers with large z-scores). Polynomials...