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Tagged with correlation-matrix stress-testing
2 questions
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How to stress test a correlation matrix
As part of a mean variance portfolio task, I am calculating portfolio risk and optimal allocations between assets given required level of return. Input: expected returns, volatility and correlation ...
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Stress testing covariance
Going one level beyond stressed scenarios, to parameters e.g. for a VaR measure: what are the most common approaches for stressing a covariance/correlation matrix, especially taking portfolio exposure ...
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