Assets / Correlation Matrix
Aggregated Correlation Matrix
Compute an aggregated asset correlation matrix, obtained by replacing the diagonal blocks of a global asset correlation matrix by local asset correlation matrices and minimally altering the off-diagonal blocks so that the resulting asset correlation matrix is a valid correlation matrix.
References
- Goldberg, Lisa R. and Kercheval, Alec N. and Anderson, C. Greg and Miller, Guy and Sorge, Kathy, On the Aggregation of Local Risk Models for Global Risk Management. Journal of Risk, Vol. 8, No. 1, 2005
- Ndiaye, P., Oustry, F. & Piolle, V. Semidefinite optimisation for global risk modelling. J Asset Manag 7, 142–153 (2006)>
post/assets/correlation/matrix/aggregated
Request body
Response
OK
Changes
No recorded changes to this endpoint across all 11 revisions of this API.