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...
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
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
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
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
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...
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