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
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
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
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 –...
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...
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