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Implied correlation from VaR
Author(s)
Date Issued
2006
Date Available
2009-06-09T14:14:39Z
Abstract
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).
Sponsorship
University College Dublin. Michael Smurfit Graduate School of Business
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-06-05
Copyright (Published Version)
2006, Centre for Financial Markets
Subjects
Classification
G12
Subject – LCSH
Risk--Econometric models
Correlation (Statistics)
Stock exchanges--Econometric models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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Name
WP-06-05.pdf
Size
71.08 KB
Format
Adobe PDF
Checksum (MD5)
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