covariance matrix

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On the Aggregation of Local Risk Models for Global Risk Management

Given a collection of single-market covariance matrix forecasts for different markets, the paper describes how to embed them into a global forecast of total risk. This paper starts with any global covariance matrix forecast that contains information about cross-market correlations, and revising it to agree with the pre-specified submarket matrices,...

Tags: Risk Management, Barra, Covariance Matrix, Financial Planning, Strategy, Financial Services, Security, Finance, Management

White papers 2005-04-25

Additional Resources

Evaluating Covariance Matrix Forecasts In A Value-at-Risk Framework

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models, ranging from matrices of simple summary measures to covariance matrices implied from option prices, are available for generating such forecasts. This paper evaluates the relative accuracy of...

Tags: Covariance Matrix Forecast, Loss Function, VaR, Currency & Foreign Exchange, Asset Management, Financial Accounting, Finance, Operational Planning, Business Operations

White papers 2000-04-17

A Fast Algorithm for the Minimum Covariance Determinant Estimator.(Statistical Data Included)

The minimum covariance determinant MCD method of Rousseeuw is a highly robust estimator of multivariate location and scatter. ITs objective is to find h observations out of n whose covariance matrix has the lowest determinant. Until now, applications of the MCD were hampered by the computation...

Tags: algorithm, Engineering, G., M., Sec

Research articles 1999-08-01

Large Scale Conditional Covariance Matrix

This paper presents a new representation of the diagonal Vech model, using the Hadamard product. Sufficient conditions on parameter matrices are provided to ensure the positive definiteness of covariance matrices from the new representation. Based on this, some new and simple models are discussed in this paper. A set of...

Tags: Model, University Of California, Performance Management, Human Resources, Workforce Management

White papers 2001-05-01

Owner-Occupied Housing in the Presence of Adjustment Costs: Implications for Asset Pricing and Nondurable Consumption

The paper generalizes the Grossman and Laroque (1990) model of optimal consumption and portfolio allocation in the context in which a durable good or house subject to adjustment costs is both an argument of the utility function and a component of wealth. The analytical model shows that if the covariance...

Tags: Asset, Asset Pricing, Adjustment, Asset Management, Operational Planning, Business Operations

White papers 2001-10-01