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Adjusting covariance matrix for risk management
Leung Ho Philip YU
, F.C. NG
, Jessica K.W. TING
Department of Mathematics and Information Technology (MIT)
Research output
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peer-review
1
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Keyphrases
Risk Management
100%
Covariance Matrix
100%
Covariance
60%
Subjective Perspective
40%
Computationally Efficient
40%
Stress Scenarios
40%
High-dimensional Matrices
40%
Copyright
20%
High Correlation
20%
Financial Crisis
20%
Correlation Matrix
20%
Stressful Events
20%
Bayesian Approach
20%
Asset Returns
20%
High Standards
20%
Financial Institutions
20%
Unified Approach
20%
Crisis Period
20%
Stress Testing
20%
Capital Requirements
20%
Matrix Correction
20%
Portfolio Values
20%
Market Intervention
20%
Portfolio Holdings
20%
Matrix Vectorization
20%
Call to Action
20%
Economics, Econometrics and Finance
Risk Management
100%
Measure of Dispersion
50%
Financial Crisis
50%
Capital Market Returns
50%
Bayesian
50%
Financial Institution
50%
Capital Requirements
50%
Mathematics
Covariance Matrix
100%
Matrix (Mathematics)
60%
Covariance
60%
Stress Scenario
40%
Correlation Matrix
20%
Bayesian Approach
20%
Standard Deviation
20%
Crisis Period
20%
Vectorization
20%
Computer Science
Risk Management
100%
Covariance Matrix
100%
Dimensional Matrix
40%
Bayesian Approach
20%
High Correlation
20%
Correlation Matrix
20%
Vectorization
20%