Correlation
No nosedive: markets could defy doom-mongers
Original headline:
Markets face a testing 2012 – but Stephen Blyth argues they are better-equipped to cope than in 2008
Asset Liability Management
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Published online only
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian...
Original headline:
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment pricing simulation at the portfolio level, but...
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More Correlation articles
Inflation derivatives house of the year: Royal Bank of Scotland
Original headline:
The inflation derivatives market is characterised by long-dated trades, big notional sizes, a lack of liquidity and – where corporate clients are involved – a lack of collateral. In other words, it is exactly the kind of business that will be punished...
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Original headline:
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation....
Quant Congress Europe: Quants urged to ditch equilibrium models
Published online only
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
Trade of the month: Correlation
Original headline:
In our second article on correlation, we consider its role in multi-asset products - that is, anything other than a basket product that links to more than one asset
Volatility of volatility spike drives options liquidity squeeze
Original headline:
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
Cutting edge introduction
Original headline:
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods –...
CVA hedging: a false sense of security
Original headline:
Hedges of derivatives counterparty credit exposure – when based on credit default swap spreads – are unreliable and may lull banks into ignoring tail risks, argues David Rowe
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