Implied correlation from VaR

Details Implied correlation from VaR Implied correlation from VaR

2011-03-29

arxiv.org/abs/1103.5655v1

Economy

Quantitative Finance

Risk Management

Scientific paper

Value at risk (VaR) is a risk measure that has been widely implemented by
financial institutions. This paper measures the correlation among asset price
changes implied from VaR calculation. Empirical results using US and UK equity
indexes show that implied correlation is not constant but tends to be higher
for events in the left tails (crashes) than in the right tails (booms).

Affiliated with

Also associated with

No associations

Rating

Implied correlation from VaR does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Implied correlation from VaR, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Implied correlation from VaR will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-163497