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Correlation of financial markets in times of crisis
eigenvalues financial market volatility
2011/3/23
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correl...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Marking Systemic Portfolio Risk the Correlation Skew of Equity Baskets
2011/1/4
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlatio...
A la Carte of Correlation Models: Which One to Choose?
copula contagion mixture model exponential decay counterparty risk
2010/10/22
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage ...
In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting par...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Multiscaled Cross-Correlation Dynamics Financial Time-Series
2010/10/18
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...
Introduction into "Local Correlation Modelling"
implied correlation local correlation stochastic correlation correlation skew
2010/11/2
In this paper we provide evidence that nancial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the in-dividual constituent distribu...
The number of multi-currency exotic options is large and growing. They naturally appeal to large international corporations who need to hedge their exposures in different currencies. Multi-currency op...