Implied correlation from VaR

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Title: Implied correlation from VaR
Authors: Cotter, John
Longin, François
Permanent link: http://hdl.handle.net/10197/1156
Date: 2006
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).
Funding Details: 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/Report no.: Centre for Financial Markets working paper series; WP-06-05
Copyright (published version): 2006, Centre for Financial Markets
Keywords: Implied CorrelationValue at Risk
Subject LCSH: Risk--Econometric models
Correlation (Statistics)
Stock exchanges--Econometric models
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/wp0605.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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