Correlation stress testing for value-at-risk: an unconstrained convex optimization approach (Q2379691)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correlation stress testing for value-at-risk: an unconstrained convex optimization approach |
scientific article |
Statements
Correlation stress testing for value-at-risk: an unconstrained convex optimization approach (English)
0 references
19 March 2010
0 references
stress testing
0 references
convex optimization
0 references
Newton's method
0 references
augmented Lagrangian functions
0 references
0 references
0 references
0 references
0 references
0 references
