Weighted average correlation matrices method for correlation stress testing and sensitivity analysis
Kawee Numpacharoen
| Year of publication: |
2013
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|---|---|
| Authors: | Numpacharoen, Kawee |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 21.2013, 2, p. 67-74
|
| Subject: | Korrelation | Correlation | Sensitivitätsanalyse | Sensitivity analysis | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010358119