New answers tagged multivariate
0
Since the correlation matrix is symetric, if you move the term (i,j), you have to do it for the term (j,i) as well
Of course -> the correlation of an asset with itself is equal to 1... so it should not change
You apply a downward shock (1 to 0.99) and you use the formula of finite differences
Top 50 recent answers are included
