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...
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...
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...
More Correlation articles
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
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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