Correlation stress testing

Could you suggest good articles / books / online materials on correlation stress testing?

Correlation stress testing: say, we have a positive semidefinite correlation matrix. We might want to explore the impact on the results if some or all elements of the matrix are increased or a decrease by a given value/s. Of course, there are limits to stress testing due to the requirement of the correlation matrix to remain positive semidefinite.

Thank you in advance for your suggestions!

edited Sep 11 2010 at 19:01

asked Sep 11 2010 at 16:21

Edward
121●1●4

	What "results"? You don't say what you're doing with the matrix. – Darsh Ranjan Sep 11 2010 at 21:40
	Sorry for going off topic, but why do we have two separate tags "matrix" and "matrices"? Looks confusing to me. – Federico Poloni Sep 11 2010 at 21:56
	Say, you have a portfolio of assets and you want to estimate the sensitivity of the diversification benefit to a severe change in correlations (therefore, the need to stress correlation matrix) – Edward Sep 12 2010 at 10:51