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Applied Economics Letters Volume 17, 2010 - Issue 18
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Original Articles

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

Joseph Simonian PIMCO, 840 Newport Center Drive, Newport Beach, CA, 92660, USACorrespondence[email protected]
Pages 1767-1768 | Published online: 28 Oct 2009

Citations (11)

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Read on this site (3)

A. R. Duarte, H. S. R. Martins & F. L. P. Oliveira. (2023) CM-generator: an approach for generating customized correlation matrices. Communications in Statistics - Simulation and Computation 0:0, pages 1-20.
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Qing Xiao & Shaowu Zhou. (2019) Matching a correlation coefficient by a Gaussian copula. Communications in Statistics - Theory and Methods 48:7, pages 1728-1747.
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Kawee Numpacharoen & Kornkanok Bunwong. (2013) Boundaries of Correlation Adjustment with Applications to Financial Risk Management. Applied Mathematical Finance 20:4, pages 403-414.
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Articles from other publishers (8)

S. Yaser Samadi, L. Billard, M. R. Meshkani & A. Khodadadi. (2016) Canonical correlation for principal components of time series. Computational Statistics 32:3, pages 1191-1212.
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Mel MacMahon & Diego Garlaschelli. (2015) Community Detection for Correlation Matrices. Physical Review X 5:2.
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Kawee Numpacharoen. (2013) Weighted Average Correlation Matrices Method for Correlation Stress Testing and Sensitivity Analysis. The Journal of Derivatives 21:2, pages 67-74.
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Kawee Numpacharoen. (2013) Weighted Average Correlation Matrices Method for Correlation Stress Testing and Sensitivity Analysis. The Journal of Derivatives, pages 131118222658006.
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Kawee Numpacharoen & Amporn Atsawarungruangkit. (2012) Generating Correlation Matrices Based on the Boundaries of Their Coefficients. PLoS ONE 7:11, pages e48902.
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Nicos A. Scordis. (2012) The Morality of Risk Modeling. Journal of Business Ethics 103:S1, pages 7-16.
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Kawee Numpacharoen. (2013) Analytical Framework for Calculating the Probability of Generating a Valid Correlation Matrix. SSRN Electronic Journal.
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Kawee Numpacharoen & Kornkanok Bunwong. (2012) An Intuitively Valid Algorithm for Adjusting the Correlation Matrix in Risk Management and Option Pricing. SSRN Electronic Journal.
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