Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness
European Journal of Operational Research, 263(2), 510-523
Posted: 11 Aug 2016 Last revised: 9 Jun 2020
Date Written: July 30, 2016
We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate skewness. If required for financial applications, absence of arbitrage can be ensured. Potential applications include the simulation of risk factors for the risk management of financial institutions. We use the Kollo measure of multivariate skewness, which is more informative for these applications than the Mardia skewness previously used in this context.
Keywords: ROM simulation, multivariate skewness, risk factors
JEL Classification: C63, C15
Suggested Citation: Suggested Citation