A Black–Litterman approach to correlation stress testing

DOI10.1080/14697688.2013.843022zbMath1402.62254OpenAlexW2037258665MaRDI QIDQ5245918

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Publication date: 16 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.843022

zbMATH Keywords

Mahalanobis distanceBlack-Littermancorrelation stress testingscenario test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

Adjusting covariance matrix for risk management ⋮ Stress testing correlation matrix: a maximum empirical likelihood approach

Cites Work

• Efficient rank reduction of correlation matrices
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• Statistical rehabilitation of improper correlation matrices
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• A preconditioned Newton algorithm for the nearest correlation matrix
• AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
• Parameterizing correlations: a geometric interpretation

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