Senior quant discusses the high levels of cross-asset correlation across today's markets
More Correlation articles
HSBC's global report indicates that correlation in the global equities market has been steadily rising since 2001.
High yield spreads are more highly correlated to the VIX index than to default rates.
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.