The correlation matrix is of vital importance for value-at-risk (VAR) modelsin the financial industry. Risk managers are often interested in stressing a subsetof market factors within large-scale risk...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Correlation articles
To most of us, correlation measures the interdependence of random variables.To statisticians, correlation is a misleadingly simple linear measure. While this pointhas been made before in Risk, here Paul Embrechts, Alexander McNeil andDaniel Straumann...
Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such coefficients...
A measure of the degree to which changes in two variables are related. Correlation ranges between +1 (perfect correlation – the same amount of movement in the same direction) and -1 (perfect negative correlation – the same amount of movement in opposite...
In a world of continuous trading, accurate estimation of realised volatility is vital. In thefirst of two empirically flavoured papers, Torben Andersen, Tim Bollerslev, FrancisDiebold and Paul Labys show how high-frequency data can be used in an optimal...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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