Correlation
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Pension funds cautioned on equity-bond correlation
Buy-siders need to plug changes into VAR, say risk managers
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
Correlation of op risk losses could send capital soaring
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
Operational loss with correlated frequency and severity: an analytical approach
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
A dynamic conditional correlation between commodities and the Islamic stock market
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Risk management for return enhancement
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
European government bond dynamics and stability policies: taming contagion risks
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Stop-outs under serial correlation and the triple penance rule
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Hidden price pressures grow in euro swap market
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Full capital structures allow revival of synthetic CDOs
Managed deals could be next, but market's potential is expected to be limited
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