Option-implied correlations, factor models, and market risk

Adrian Buss (INSEAD), Lorenzo Schönleber (Frankfurt School of Finance & Management), Grigory Vilkov (Frankfurt School of Finance & Management)

Year of publication:	January 26, 2017
Authors:	Buss, Adrian ; Schönleber, Lorenzo ; Vilkov, Grigory
Publisher:	[Fontainebleau] : INSEAD
Subject:	Implied correlation \| factor model \| market factor \| factor exposure \| Korrelation \| Correlation \| Faktorenanalyse \| Factor analysis \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Marktrisiko \| Market risk \| Schätzung \| Estimation \| Volatilität \| Volatility

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