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correlation-matrix

  1. M

    Formula of Unexpected Loss

    Dear Mr David Sir, while going through the earlier posts, I came across the following formula for calculating the portfolio Unexpected Loss as benig sent by you to 'ravi80' on 23 June 2008. UL(p) = SQRT [sum(i) sum(j) correlation (i,j)UL(i) * UL(j)] ...........................(A)...
  2. H

    Stress Test Covariance and Correlation Matrix

    Hello David, I've seen the terms "covariance matrix" and "correlation matrix" a couple of times now, and I think I roughly know what they are and how they work, but I'm not sure as to how they apply and are being used in scenario analysis (stress testing). Also I am getting a bit overwhelmed by...
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