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"Correlation stress testing for value-at-risk: an unconstrained convex ..."

Houduo Qi, Defeng Sun (2010)

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DOI: 10.1007/S10589-008-9231-4

access: closed

type: Journal Article

metadata version: 2020-07-14

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Houduo Qi, Defeng Sun:
Correlation stress testing for value-at-risk: an unconstrained convex optimization approach. Comput. Optim. Appl. 45(2): 427-462 (2010)

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