Dan Georgescu

Bank of England - Prudential Regulation Authority

20 Moorgate

London, EC2R 6DA

United Kingdom

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Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance

Number of pages: 18 Posted: 16 Oct 2017
Dan Georgescu, Nicholas Higham and Gareth Peters
Bank of England - Prudential Regulation Authority, The University of Manchester and University of California Santa Barbara
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Abstract:

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Matrix Completion, Correlation Matrix, Positive Definite Matrix, Maximal Determinant, Chordal Graph, Covariance Selection, Insurance, Risk Management