Estimating a covariance matrix for market risk management and the case of credit default swaps

DOI10.1080/14697688.2018.1494850zbMath1407.91231OpenAlexW3122448341WikidataQ129429365 ScholiaQ129429365MaRDI QIDQ4628036

Richard Neuberg, Paul Glasserman

Publication date: 6 March 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1494850

zbMATH Keywords

matrix loss functionscorrelation matricesmargin requirementsportfolio risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices

Uses Software

• glasso
• ElemStatLearn
• FinTS

Cites Work

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• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Modelling the persistence of conditional variances
• Regression and time series model selection in small samples
• Tuning-parameter selection in regularized estimations of large covariance matrices
• Analysis of Financial Time Series

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