A note on adjusting correlation matrices

A new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense that it alters as little as possible those correlations that one would wish not to alter, but they change in order to obtain a consistent Finger correlation matrix.

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Year of publication:	2002
Authors:	Leon, A. ; Peris, J. E. ; Silva, J. ; Subiza, B.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 9.2002, 1, p. 61-67
Publisher:	Taylor & Francis Journals
Subject:	Correlation Matrix \| Kuhn-TUCKER Conditions \| Eigenvalue \| Value-AT-RISK

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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