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 m...
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Idea that bank retreat loosens correlation ‘doesn’t make any sense’
More Correlation articles
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...
Emphasise the positive
The DGAM Unique Strategies, named best specialist fund of hedge funds over three years at the Americas Awards 2013, seeks real diversification in complex and unusual hedge fund strategies
Rethinking risk and return
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 ...
Analysis from JP Morgan shows strong relationship between intra-stock correlation and equity long/short hedge fund returns
The tight link between commodities and equities is easing as firms become less worried about macro shocks, say analysts
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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.