Implied Correlation from VaR

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).

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Year of publication:	2011-07-21
Authors:	Cotter, John ; Longin, Francois
Institutions:	Geary Institute, University College Dublin
Subject:	Implied Correlation \| Value at Risk

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 200618 10 pages
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009194553