Yu, Philip L.H.; Li, W.K.; Ng, F.C. - In: The North American Journal of Economics and Finance 27 (2014) C, pp. 17-33
Correlation stress testing refers to the correlation matrix adjustment to evaluate potential impact of the changes in correlations under financial crises. There are two categories, sensitivity tests and scenario tests. For a scenario test, the correlation matrix is adjusted to mimic the...
