Browsing College of Business and Law by Subject "Implied Correlation"

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Implied correlation from VaR

Cotter, John ; Longin, François (University College Dublin. School of Business. Centre for Financial Markets, 2006)

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 ...