The most simple methodology to create a valid correlation matrix for risk management and option pricing purposes

Applied Economics Letters

Volumn 17, Issue 18, 2010, Pages 1767-1768

  Simonian, Joseph ^a  

^a PIMCO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; FINANCIAL SYSTEM; METHODOLOGY; PRICE DYNAMICS; RISK ASSESSMENT;

EID: 78649426787     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850903299628     Document Type: Article

References (4)

1. Higham, N. (2001) Computing the nearest correlationmatrix - a problem from finance, IMA Journal ofNumerical Analysis, 22, 329-43.
2. Kupiec, P. H. (1998) Stress testing in a value at risk frame-work, Journal of Derivatives, 6, 7-24.
3. Rapisarda, F., Brigo, D. and Mercurio, F. (2007) Parameterizing correlations: a geometric interpretation,IMA. Journal of Management Mathematics, 18, 55-73.
4. Rebonato, R. and Jackel, P. (1999/2000) The most generalmethodology to create a valid correlation matrix forrisk management and option pricing purposes, TheJournal of Risk, 2, 17-28.