Correlation
Quant Congress Europe: Quants urged to ditch equilibrium models
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
In our second article on correlation, we consider its role in multi-asset products - that is, anything other than a basket product that links to more than one asset
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
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More Correlation articles
Cutting edge introduction
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods –...
CVA hedging: a false sense of security
Hedges of derivatives counterparty credit exposure – when based on credit default swap spreads – are unreliable and may lull banks into ignoring tail risks, argues David Rowe
Trade of the month: Correlation
This month we will define correlation and its effect on a portfolio, as well as on the pricing and properties of a structured product linked to a basket. In the next issue, we will consider how correlation is marked and traded and the effect of different...
The growing influence of Caspian crude
The growing importance of Caspian crude could bring about a similar dislocation of Urals/Brent as the recent dislocation in the Brent/WTI spread, argues Bruce Gaston
Greece’s second bail-out met with relief
Traders and strategists believe latest rescue package is a positive development, but expect further pain ahead as it is implemented
FVC custom indexes
Assessing the performance of FVC's Europe and US indexes, and comparing them to the S&P 500 benchmark
Asia Risk institutional derivatives rankings 2011
The dynamics of the institutional investor market in the Asia Pacific are changing as large regional asset owners are increasingly seeking opportunities closer to home. Kathy Wang reports
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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Risk OTC Derivatives Clearing Summit
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Quant Congress Europe
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Risk and Return Brasil - Portuguese
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Risk & Return Brazil - English
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What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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