Correlation
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
DGAM Unique Strategies Fund: Diversified Global Asset Management (DGAM)
The DGAM Unique Strategies, named best specialist fund of hedge funds over three years at the Americas Awards 2013, seeks real diversification in complex and unusual hedge fund strategies
SABR spreads its wings
SABR spreads its wings
‘Required return’ framework aids hedge fund allocation decisions
Rethinking risk and return
Falling correlations could give hedge funds bumper returns
A fall in asset-to-asset correlations could mean a good year for many hedge fund strategies, even though volatility is expected to remain relatively low, according to research from Axioma
Cutting edge: Correlation functions in the crude oil and natural gas futures markets
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the…
Falling correlations signal better times for equity long/short hedge funds
Analysis from JP Morgan shows strong relationship between intra-stock correlation and equity long/short hedge fund returns
Commodity correlation returning to pre-2008 levels, say analysts
The tight link between commodities and equities is easing as firms become less worried about macro shocks, say analysts
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Responding to the eurozone crisis
The cutting crew
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Kickouts and correlation
Kickouts and correlation
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
A model future (part II)
A model future (part II)
Swedish banks braced for home loan capital hike
A weighty issue
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Cutting Edge introduction: Hedging dependence
Hedging dependence
Multi-factor forward curve models for energy risk management
Applied risk management series – article two
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
No nosedive: markets could defy doom-mongers
Challenging the doom-mongers