Adjusting covariance matrix for risk management

DOI10.1080/14697688.2020.1739737zbMath1454.91237OpenAlexW3020390937MaRDI QIDQ5139262

Jessica K. W. Ting, Philip L. H. Yu, F. C. Ng

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1739737

zbMATH Keywords

covariance matrixstress testingIFRS 9subjective view

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• RiskMetrics

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Default prediction with the Merton-type structural model based on the NIG Lévy process
• Efficient rank reduction of correlation matrices
• Robust and sparse banking network estimation
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• Markov chain models for delinquency: Transition matrix estimation and forecasting
• Modeling default risk with support vector machines
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
• Matrix Calculus and Zero-One Matrices
• A preconditioned Newton algorithm for the nearest correlation matrix
• A Black–Litterman approach to correlation stress testing
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