Correlation
Right-way risk can create a false sense of security
Counterparty correlations are no substitute for due diligence, argues Kaminski
Hedge funds eye actively managed synthetic CDOs
Active deals seen as “the next step” after last year’s revival of static CDOs
Volatility and correlation don’t measure what you think
Two ubiquitous risk analytics are easily and often misunderstood
FVA, correlation, wrong-way risk: EU stress test’s hidden gems
How much margin is missing in sovereign swaps? The stress test had the answer
Bafin blocked Deutsche Bank correlation exit, funds claim
EU stress tests showed €34.5 billion notional legacy book
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Hedge funds pile into Japan dispersion trade
Rise in single stock uridashi issuance drives trade
Beta often is a "meaningless concept"
When correlation is low, hedge fund investors are "simply wrong" to use beta
Pricing multi-asset trades – part two
Correlation sensitivity in multi-asset structured products explained
CDS de-correlation a threat to CVA hedging, traders warn
Fears relationship between credit indexes and constituents becoming more tenuous
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Pricing multi-asset trades – part one
Trading and pricing correlation for structured products
Volatility and correlation: the missing link
Research decouples risk components
Operational risk modelled analytically
Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter of debate. Vivien Brunel proposes an analytical…
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Bank-led commodity decorrelation theory rejected by analysts
Idea that bank retreat loosens correlation ‘doesn’t make any sense’
Cutting Edge introduction: living la vida local
Living la vida local
Dealers reassess Korea ELS market as equity risk builds up
Equity-linked underlyings moving to Euro Stoxx 50
Risk warning on volatility and correlations
When volatility and correlations spike together, portfolio managers should simulate realistic stresses and be prepared to deal with the additional risks, warns Investor Analytics
Less correlation gives stock-pickers opportunity to generate alpha
Decoupling correlations
Hedge funds urged to promote risk management benefits to investors
Emphasise the positive