{"id":"https://openalex.org/W2016070917","doi":"https://doi.org/10.1007/s10589-008-9231-4","title":"Correlation stress testing for value-at-risk: an\u00a0unconstrained convex optimization approach","display_name":"Correlation stress testing for value-at-risk: an\u00a0unconstrained convex optimization approach","publication_year":2009,"publication_date":"2009-01-12","ids":{"openalex":"https://openalex.org/W2016070917","doi":"https://doi.org/10.1007/s10589-008-9231-4","mag":"2016070917"},"language":"en","primary_location":{"id":"doi:10.1007/s10589-008-9231-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10589-008-9231-4","pdf_url":null,"source":{"id":"https://openalex.org/S39243548","display_name":"Computational Optimization and Applications","issn_l":"0926-6003","issn":["0926-6003","1573-2894"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Optimization and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112621269","display_name":"Houduo Qi","orcid":"https://orcid.org/0000-0003-3481-4814"},"institutions":[{"id":"https://openalex.org/I43439940","display_name":"University of Southampton","ror":"https://ror.org/01ryk1543","country_code":"GB","type":"education","lineage":["https://openalex.org/I43439940"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Houduo Qi","raw_affiliation_strings":["School of Mathematics, The University of Southampton, Highfield, Southampton, SO17 1BJ, UK","School of Mathematics, The University of Southampton, Highfield, UK SO17 1BJ"],"affiliations":[{"raw_affiliation_string":"School of Mathematics, The University of Southampton, Highfield, Southampton, SO17 1BJ, UK","institution_ids":["https://openalex.org/I43439940"]},{"raw_affiliation_string":"School of Mathematics, The University of Southampton, Highfield, UK SO17 1BJ","institution_ids":["https://openalex.org/I43439940"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5029911976","display_name":"Defeng Sun","orcid":"https://orcid.org/0000-0003-0481-272X"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Defeng Sun","raw_affiliation_strings":["Department of Mathematics and Risk Management Institute, National University of Singapore, Singapore, 117543, Singapore","Department of Mathematics and Risk Management Institute, National University of Singapore, Singapore, Singapore 117543#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Risk Management Institute, National University of Singapore, Singapore, 117543, Singapore","institution_ids":["https://openalex.org/I165932596"]},{"raw_affiliation_string":"Department of Mathematics and Risk Management Institute, National University of Singapore, Singapore, Singapore 117543#TAB#","institution_ids":["https://openalex.org/I165932596"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5112621269"],"corresponding_institution_ids":["https://openalex.org/I43439940"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":5.4272,"has_fulltext":false,"cited_by_count":46,"citation_normalized_percentile":{"value":0.96927593,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"45","issue":"2","first_page":"427","last_page":"462"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11236","display_name":"Control Systems and Identification","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8466581106185913},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4824829399585724},{"id":"https://openalex.org/keywords/regular-polygon","display_name":"Regular polygon","score":0.45234572887420654},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.44526004791259766},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.43196582794189453},{"id":"https://openalex.org/keywords/convex-optimization","display_name":"Convex optimization","score":0.4111637473106384},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.343303918838501},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.12204623222351074}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8466581106185913},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4824829399585724},{"id":"https://openalex.org/C112680207","wikidata":"https://www.wikidata.org/wiki/Q714886","display_name":"Regular polygon","level":2,"score":0.45234572887420654},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.44526004791259766},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.43196582794189453},{"id":"https://openalex.org/C157972887","wikidata":"https://www.wikidata.org/wiki/Q463359","display_name":"Convex optimization","level":3,"score":0.4111637473106384},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.343303918838501},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.12204623222351074}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s10589-008-9231-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10589-008-9231-4","pdf_url":null,"source":{"id":"https://openalex.org/S39243548","display_name":"Computational Optimization and Applications","issn_l":"0926-6003","issn":["0926-6003","1573-2894"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Optimization and Applications","raw_type":"journal-article"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/104553","is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/104553","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","issn_l":null,"issn":[],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Scopus","raw_type":"Conference Paper"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.228.894","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.228.894","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.nus.edu.sg/%7Ematsundf/stress_test.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.518.4069","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.518.4069","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.nus.edu.sg/~matsundf/stress_test_March20_07.pdf","raw_type":"text"},{"id":"pmh:oai:eprints.soton.ac.uk:54532","is_oa":false,"landing_page_url":"https://eprints.soton.ac.uk/54532/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401019","display_name":"ePrints Soton (University of Southampton)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I43439940","host_organization_name":"University of Southampton","host_organization_lineage":["https://openalex.org/I43439940"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3906325352","display_name":null,"funder_award_id":"EP/D502535/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"}],"funders":[{"id":"https://openalex.org/F4320334627","display_name":"Engineering and Physical Sciences Research Council","ror":"https://ror.org/0439y7842"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W135273259","https://openalex.org/W578397403","https://openalex.org/W1551360398","https://openalex.org/W1553545751","https://openalex.org/W1577338488","https://openalex.org/W1601741115","https://openalex.org/W1606611220","https://openalex.org/W1980610004","https://openalex.org/W1982165727","https://openalex.org/W2004209776","https://openalex.org/W2028554554","https://openalex.org/W2036312716","https://openalex.org/W2038497950","https://openalex.org/W2058343378","https://openalex.org/W2071935850","https://openalex.org/W2077260542","https://openalex.org/W2091560152","https://openalex.org/W2104481149","https://openalex.org/W2105207928","https://openalex.org/W2113734366","https://openalex.org/W2119582979","https://openalex.org/W2127930751","https://openalex.org/W2135779729","https://openalex.org/W2158604542","https://openalex.org/W2165289170","https://openalex.org/W2165355250","https://openalex.org/W2316564661","https://openalex.org/W2499991388","https://openalex.org/W2726466593","https://openalex.org/W3121687142","https://openalex.org/W3122058357","https://openalex.org/W3123209044","https://openalex.org/W4249513058","https://openalex.org/W4255678118","https://openalex.org/W4293820388"],"related_works":["https://openalex.org/W2049150502","https://openalex.org/W1967500081","https://openalex.org/W2365751862","https://openalex.org/W2172599225","https://openalex.org/W2945191958","https://openalex.org/W4285411252","https://openalex.org/W2176627345","https://openalex.org/W2379531677","https://openalex.org/W2373948225","https://openalex.org/W3153752017"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":5}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
