Type

Working Paper

Authors

François Longin
John Cotter

Subjects

Business

Topics
value at risk risk econometric models measure stock exchanges econometric models var implied correlation g12 correlation statistics

Implied correlation from VaR (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).
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

François Longin, John Cotter

Experts in our system

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John Cotter
University College Dublin
Total Publications: 93