Correlation stress testing for value-at-risk: An unconstrained convex optimization approach

Computational Optimization and Applications

Volumn 45, Issue 2, 2010, Pages 427-462

  Qi, Houduo ^a   Sun, Defeng ^b  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Augmented Lagrangian functions; Convex optimization; Newton's method; Stress testing

Indexed keywords

AUGMENTED LAGRANGIAN FUNCTIONS; COMPUTATIONAL CHALLENGES; CONVEX OPTIMIZATION PROBLEMS; CORRELATION MATRIX; EXISTING METHOD; FINANCIAL INSTITUTION; FINANCIAL MODELS; MATRIX-VALUED FUNCTIONS; NEWTON'S METHODS; NUMERICAL RESULTS; SEMISMOOTH; STRESS PATTERNS; STRESS TESTING; SUB-MATRICES; TARGET MATRICES; UNCONSTRAINED OPTIMIZATION PROBLEMS; VALUE AT RISK;

CORRELATION METHODS; LAGRANGE MULTIPLIERS; MATRIX ALGEBRA; NEWTON-RAPHSON METHOD; NUMERICAL ANALYSIS; NUMERICAL METHODS; OPTIMIZATION; TARGETS; VALUE ENGINEERING;

CONVEX OPTIMIZATION;

EID: 77950517553     PISSN: 09266003     EISSN: 15732894     Source Type: Journal    
DOI: 10.1007/s10589-008-9231-4     Document Type: Conference Paper

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