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 Geary Institute, University College Dublin in its series Working Papers with number 200618.
Length: 10 pages
Date of creation: 07 2011
Date of revision:
Implied Correlation; Value at Risk;
Other versions of this item:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-27 (All new papers)
- NEP-BAN-2011-07-27 (Banking)
- NEP-RMG-2011-07-27 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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