Stress testing correlation matrices for risk management
โ Scribed by So, Mike K.P.; Wong, Jerry; Asai, Manabu
- Book ID
- 120593984
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 481 KB
- Volume
- 26
- Category
- Article
- ISSN
- 1062-9408
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Permutational tests are proposed for the hypotheses that two population correlation matrices have common eigenvectors, and that two population correlation matrices are equal. The only assumption made in these tests is that the distributional form is the same in the two populations; they should be us
The final equation given in the proof of Theorem 2 is incorrect. The asymptotic distribution of the statistic in Theorem 2 is not affected by this error when the common correlation matrix is the identity matrix. For this reason, the simulation results did not reveal the presence of an error. The cor