Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter...
The failure, and the allure, of collateralised debt obligations (CDOs) is often pinned on the way they were rated and priced, which underestimated risk. However, new analysis shows the products to be more...
Unctad economists' argument that bank withdrawals are loosening correlation between commodities and equities "doesn’t make any sense", say analysts
More Correlation articles
Investing on the basis of risk premia rather than asset class performance is being embraced by pension funds, sovereign wealth funds and other institutional investors. The trend is especially popular among Scandinavia’s pension funds, but what are these...
Equity-linked underlyings moving to Euro Stoxx 50
This paper examines the dynamic linkages in credit risk between the money market and the derivatives market during 2004-9. We use the T-bill-Eurodollar (TED) spread to measure credit risk in the money market and the credit default swap (CDS) index spread...
Decreasing correlations have a positive effect on portfolio risk. When market correlations shift in magnitude or reverse, it can be tricky to understand how changing risk levels relate to a portfolio
Hedge funds should market themselves as having both alpha-generating potential as well as a better risk profile than equities or bonds while being uncorrelated to both
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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