Correlation
Trade of the month: Multi-asset products
Linking a structured products to a number of assets is not as easy as it sounds, but the rewards can be very desirable
Correlation in global equities has been on the rise for the past decade. The credit crisis, structural shifts in global financial flows and the rise of exchange-traded funds has meant that asset classes...
There was a slight feeling of déjà vu in the equity derivatives markets in May. As the eurozone sovereign debt crisis peaked, volatility and correlation shot up to recent highs. A succession of poor...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Correlation articles
Equity investors struggle with high correlation
Correlation in the equity markets has traditionally moved in tandem with volatility, but since June the relationship between the two has broken down. What has caused the rupture and how have investors been affected? Peter Madigan reports
Demand for downside puts keeps skew high
The eurozone sovereign debt crisis caused volatility and skew to rocket earlier this year, burning dealers with short positions. Since then, traders have been reluctant to enter the fray, leaving markets in a state of dislocation. By Mark Pengelly
Cross-asset correlations pose opportunities - and threats
Correlation between asset classes has remained at high levels this year, despite a fall in volatility. This presents a potential opportunity for traders, but could also pose significant risks. By Christopher Whittall
Quant unlocks the physics of the flash crash
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets
15 minutes with: Stacy Williams, HSBC
Senior quant discusses the high levels of cross-asset correlation across today's markets
Breaking correlation breaks
Large deviations in dependencies – correlation breaks – are a hazard when risk managing multi-asset derivatives such as worst-of options. Adil Reghai presents a calibration scheme for local correlation that ensures a basket’s skew is compatible...
Analysing correlations under stress
A structural assessment of co-variability during periods of stress can improve crisis management and contribute to better strategic planning, argues David Rowe
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.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
-
Managing Risks in Foreign Exchange
USA, 11th - 12th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- Global securities enforcement activity stepping up to meet new market challenges
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- M&A representations and warranties insurance: what every buyer and seller needs to know
- Green REITs, MLPs and Up-Cs
- How important is collaborative technology in managing risk?
Related Jobs
