Boundaries of Correlation Adjustment with Applications to Financial Risk Management
In recent years, stress testing has become a regulatory requirement for risk assessment in financial institutions. To perform stress testing in multi-asset case, adjusting the correlation matrix to an extreme level is an important process. With a larger matrix, it is more difficult to choose the rig...
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| Main Authors: | , |
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| Format: | Article |
| Published: |
2018
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| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/31700 |
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| Institution: | Mahidol University |