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Weighted Average Correlation Matrices Method for Correlation Stress Testing and Sensitivity Analysis
Numpacharoen, Kawee, (2016)
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki, (2022)
Covariate benchmarking for sensitivity analysis when the confounder is correlated with observed covariates
Basu, Deepankar, (2023)
Boundaries of Correlation Adjustment with Applications to Financial Risk Management
Numpacharoen, Kawee, (2013)
A New Algorithm for Computing Implied Volatility
Numpacharoen, Kawee, (2012)