---
title: "Aggregated Correlation Matrix"
method: POST
path: "/assets/correlation/matrix/aggregated"
tags: ["Assets / Correlation Matrix"]
---

# Aggregated Correlation Matrix

`POST /assets/correlation/matrix/aggregated`

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](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=402960)
 * [Ndiaye, P., Oustry, F. & Piolle, V. Semidefinite optimisation for global risk modelling. J Asset Manag 7, 142–153 (2006)](https://link.springer.com/article/10.1057/palgrave.jam.2240209)>

## Request body

- object
  - `assets` integer, required
  - `assetsGlobalCorrelationMatrix` array[], required — assetsGlobalCorrelationMatrix[i][j] is the (global) correlation between the asset i and the asset j
    - number[]
  - `assetsLocalCorrelationMatrices` object[], required — assetsLocalCorrelationMatrices[k] contains the (local) correlations between the assets of the k-th diagonal block of the asset correlation matrix assetsGlobalCorrelationMatrix
    - `assetsLocalCorrelationMatrix` array[], required — assetsLocalCorrelationMatrices[k].assetsLocalCorrelationMatrix[l][m] is the (local) correlation between the asset l and the asset m of the k-th diagonal block of the asset correlation matrix assetsGlobalCorrelationMatrix
      - number[]

## Response `200`

OK

- object
  - `assetsCorrelationMatrix` array[], required — assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j
    - number[]

---

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