Correlation
Falling correlations could give hedge funds bumper returns
A fall in asset-to-asset correlations could mean a good year for many hedge fund strategies, even though volatility is expected to remain relatively low, according to research from Axioma
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios....
Analysis from JP Morgan shows strong relationship between intra-stock correlation and equity long/short hedge fund returns
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More Correlation articles
Commodity correlation returning to pre-2008 levels, say analysts
The tight link between commodities and equities is easing as firms become less worried about macro shocks, say analysts
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Responding to the eurozone crisis
Société Générale spent a month at the centre of the eurozone crisis last year, and the bank has responded by reining in its US dollar funding needs and boosting its liquidity buffer. The investment banking unit is also learning constraint under new...
An easy-to-hedge covariance swap
Covariance swaps that track the covariance of assets can be difficult to hedge because there is no known static replication formula, unlike the case for variance swaps. However, in the case of swaps measuring the covariance between the absolute returns...
Kickouts and correlation
This multi-asset two-year autocallable from Credit Suisse offered a potentially healthy fixed return based on the performance of the S&P 500 and Russell 2000 indexes, but capital is at risk if the final day barrier of 70% is breached
Risk 25: Cutting edge classics
In October 2001, two prescient articles drew attention to the Gaussian copula model – that would play such a crucial role in the crisis to come – and anticipated the methods regulators are now exploring to capitalise market liquidity risk
A model future (part II)
In the second part of his column on how factor models can improve operational risk effectiveness, Marcelo Cruz looks at the issues involved in determining correlations between factors and losses, and suggests how best to insert factors into the model...
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