This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
This paper focuses on the distribution of correlations among aggregate operational risk losses.
More Correlation articles
Banks round on one-size-fits-all rules for market, credit and op risk
Managed deals could be next, but market's potential is expected to be limited
ABSTRACT We present a unified framework to study the effect of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest rate...
Counterparty correlations are no substitute for due diligence, argues Kaminski
Two ubiquitous risk analytics are easily and often misunderstood
How much margin is missing in sovereign swaps? The stress test had the answer
EU stress tests showed €34.5 billion notional legacy book
Fears relationship between credit indexes and constituents becoming more tenuous
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