Stress testing correlation matrix: a maximum empirical likelihood approach

DOI10.1080/00949655.2015.1122790MaRDI QIDQ5222510zbMATH OpenOpenAlexFDO

Authors Kwok-Wah Ho

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1122790

zbMATH Keywords

empirical likelihoodstress testingcorrelation matrixrisk management

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• A Black-Litterman approach to correlation stress testing
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• Coherent stress testing. A Bayesian approach to the analysis of financial stress
• Testing for symmetric correlation matrices with applications to factor models
• Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
• Stress scenario selection by empirical likelihood
• Testing the correlated random coefficient model
• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
• Conditional copula simulation for systemic risk stress testing
• Stress testing for VaR and CVaR

Cites work

• A Black-Litterman approach to correlation stress testing
• A note on adjusting correlation matrices
• An information theoretic approach to econometrics
• Empirical likelihood
• Parameterizing correlations: a geometric interpretation

Cited in

(1)

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

Describes a project that uses

Uses Software

• RiskMetrics

This page was built for publication: Stress testing correlation matrix: a maximum empirical likelihood approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222510)