Implied Correlation from VaR
Copyright policy )Implied Correlation from VaR
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).
- Ludwig-Maximilians-Universität München Germany
- University of California, Los Angeles United States
- University College Dublin Ireland
- École Supérieure des Sciences Économiques et Commerciales France
Investment Decisions, G15 - International Financial Markets, Statistical Finance (q-fin.ST), Risk--Econometric models, G20 - General, Quantitative Finance - Statistical Finance, Implied Correlation, Value at Risk, Stock exchanges--Econometric models, G11 - Portfolio Choice, FOS: Economics and business, Implied Correlation, Risk Management (q-fin.RM), Value at Risk, Correlation (Statistics), G12, Quantitative Finance - Risk Management, jel: jel:G20, jel: jel:G12, jel: jel:G11, jel: jel:G15
Investment Decisions, G15 - International Financial Markets, Statistical Finance (q-fin.ST), Risk--Econometric models, G20 - General, Quantitative Finance - Statistical Finance, Implied Correlation, Value at Risk, Stock exchanges--Econometric models, G11 - Portfolio Choice, FOS: Economics and business, Implied Correlation, Risk Management (q-fin.RM), Value at Risk, Correlation (Statistics), G12, Quantitative Finance - Risk Management, jel: jel:G20, jel: jel:G12, jel: jel:G11, jel: jel:G15
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