Correlation traders have been given a reprieve after final rules on the regulatory capital treatment of trading book positions, published by the Basel Committee on Banking Supervision on July 13, eased...
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More Correlation articles
Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.
Risk Awards 2008
In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To ...
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