Implied correlation from VaR

John Cotter and Fran\c{c}ois Longin

Papers from arXiv.org

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).

Date: 2011-03
New Economics Papers: this item is included in nep-ban and nep-rmg
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Citations: View citations in EconPapers (2)

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http://arxiv.org/pdf/1103.5655 Latest version (application/pdf)

Related works:
Working Paper: Implied Correlation from VaR (2011)
Working Paper: Implied correlation from VaR (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5655

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