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 portfolios. This paper by Ehud Ronn contributes to the...
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
The cutting crew
An easy-to-hedge covariance swap
Kickouts and correlation
Don’t say we didn’t warn you
A model future (part II)
A weighty issue
Stress testing with fully flexible causal inputs
Applied risk management series – article two
Repricing the cross smile: an analytic joint density
Challenging the doom-mongers
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
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
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
Trade of the month: Correlation
Volatility of volatility spike drives options liquidity squeeze
A popular copula
Quo vadis, CVA?