Implied Correlation from VaR
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KeywordsImplied Correlation; Value at Risk;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis 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)
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