Correlation stress testing for value-at-risk: An unconstrained convex optimization approach

Correlation stress testing for value-at-risk: An unconstrained convex optimization approach

10.1007/s10589-008-9231-4

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Bibliographic Details
Main Authors: Qi, H., Sun, D.
Other Authors: MATHEMATICS
Format: Conference or Workshop Item
Published: 2014
Subjects:
Augmented Lagrangian functions
Convex optimization
Newton's method
Stress testing
Online Access:http://scholarbank.nus.edu.sg/handle/10635/104553
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Institution: National University of Singapore
Description
Summary:10.1007/s10589-008-9231-4

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