Implied correlation from VaR
AbstractValue 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).
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1103.5655.
Date of creation: Mar 2011
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Web page: http://arxiv.org/
Other versions of this item:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-BAN-2011-04-09 (Banking)
- NEP-RMG-2011-04-09 (Risk Management)
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