Correlation
Swedish banks braced for home loan capital hike
Swedish regulators believe risk weights for mortgages at the country’s big four lenders are too low, and are due to announce a mechanical fix – possibly a combination of floors and multipliers. Banks...
Propagating causal stress tests on selected risk factors to all the risk drivers is a challenging task. Attilio Meucci relies on entropy pooling to address this issue
Since cross-asset class correlations aligned in 2008 there has been pent-up demand for instruments that provide exposure to another measure of it – covariance. But structuring a covariance swap that...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Correlation articles
Multi-factor forward curve models for energy risk management
In the second article of this series, Carlos Blanco and Michael Pierce introduce the most common multi-factor models of the forward curve used for energy derivatives pricing and risk measurement
Repricing the cross smile: an analytic joint density
Derivatives contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts on the cross-rates. Given the triangle of smiles for two underlyings and their cross, Peter Austing provides an analytic formula for a joint probability...
No nosedive: markets could defy doom-mongers
Markets face a testing 2012 – but Stephen Blyth argues they are better-equipped to cope than in 2008
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation....
Hybrid correlation matrices
Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment pricing simulation at the portfolio level, but can yield nonsensical results. Someshwar Roy and...
Inflation derivatives house of the year: Royal Bank of Scotland
The inflation derivatives market is characterised by long-dated trades, big notional sizes, a lack of liquidity and – where corporate clients are involved – a lack of collateral. In other words, it is exactly the kind of business that will be punished...
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation....
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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