Kawee NumpacharoenKornkanok BunwongFinancial Product DevelopmentMahidol UniversitySouth Carolina Commission on Higher Education2018-10-192018-10-192013-09-01Applied Mathematical Finance. Vol.20, No.4 (2013), 403-414146643131350486X2-s2.0-84880017639https://repository.li.mahidol.ac.th/handle/20.500.14594/31700In recent years, stress testing has become a regulatory requirement for risk assessment in financial institutions. To perform stress testing in multi-asset case, adjusting the correlation matrix to an extreme level is an important process. With a larger matrix, it is more difficult to choose the right correlation coefficients such that the newly adjusted correlation matrix is still valid. In this article, we present a systematic way to obtain the boundaries of a correlation matrix for both single stress and multiple stress cases, which can help determine how much the correlation should be adjusted in the first place. © 2013 Copyright Taylor and Francis Group, LLC.Mahidol UniversityEconomics, Econometrics and FinanceMathematicsArticleSCOPUS10.1080/1350486X.2012.723517