Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.
More Correlation articles
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 ...
Empirical studies show that default probabilities and loss given defaults of corporate counterparties are positively correlated due to their common dependency on the businesscycle. Guido Giese appli...
Investors spend a great deal of time and effort setting a thoughtful risk budget for their portfolio,only to see all too frequently that the targeted risk will be missed by a wide margin when theinv...
Credit risk : Cuttingedge
Basel II revised credit card default correlation values will be crucial guidelines to credit portfolio analysis under the IRB approach, says Fitch Ratings, a rating agency based in New York.
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.