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

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spelling	sg-nus-scholar.10635-1045532023-10-29T20:45:04Z Correlation stress testing for value-at-risk: An unconstrained convex optimization approach Qi, H. Sun, D. MATHEMATICS Augmented Lagrangian functions Convex optimization Newton's method Stress testing 10.1007/s10589-008-9231-4 Computational Optimization and Applications 45 2 427-462 CPPPE 2014-10-28T02:50:48Z 2014-10-28T02:50:48Z 2010-03 Conference Paper Qi, H., Sun, D. (2010-03). Correlation stress testing for value-at-risk: An unconstrained convex optimization approach. Computational Optimization and Applications 45 (2) : 427-462. ScholarBank@NUS Repository. https://doi.org/10.1007/s10589-008-9231-4 09266003 http://scholarbank.nus.edu.sg/handle/10635/104553 000274903400010 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Augmented Lagrangian functions Convex optimization Newton's method Stress testing
spellingShingle	Augmented Lagrangian functions Convex optimization Newton's method Stress testing Qi, H. Sun, D. Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
description	10.1007/s10589-008-9231-4
author2	MATHEMATICS
author_facet	MATHEMATICS Qi, H. Sun, D.
format	Conference or Workshop Item
author	Qi, H. Sun, D.
author_sort	Qi, H.
title	Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
title_short	Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
title_full	Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
title_fullStr	Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
title_full_unstemmed	Correlation stress testing for value-at-risk: An unconstrained convex optimization approach
title_sort	correlation stress testing for value-at-risk: an unconstrained convex optimization approach
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/104553
_version_	1781787909963120640

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

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