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...
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
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...
HSBC's global report indicates that correlation in the global equities market has been steadily rising since 2001.
Skew skyrocketed while volatility and correlation spiked in May, reviving memories of the carnage inflicted in the months that followed the bankruptcy of Lehman Brothers in 2008. The dislocations are rumoured to have caused losses for some exotic equity...
The financial crisis encouraged investors to ditch complex payouts in favour of simplicity. For many retail and some institutional investors, exchange-traded funds (ETFs) presented a cost-effective, simple alternative. However, some participants believe...
Markets have become less volatile recently, but correlation remains persistently high. Some analysts point the finger at index investing – but that theory has plenty of critics. Whatever the explanation, investors will be hoping it doesn’t take a...
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
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