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- W2951858242 abstract "Most of the methods used by financial institutions to implement valueat-risk models are based on the multivariate Gaussian distribution with aconstant correlation matrix. In this paper we use VaR calculation in areverse way to imply the correlation between asset price changes. Thedistribution of implied correlation under normality is also studied inorder to take into account any bias and sampling error. Empirical resultsfor US and UK equity markets show that implied correlation is notconstant but tends to be higher for long positions than for shortpositions. This result is statistically significant and can be interpreted asdeparture from normality. Our test provides a new way – by focusing thetail dependence - to assess the model risk associated with quantitativemethods based on normality in asset management and risk managementareas." @default.
- W2951858242 created "2019-06-27" @default.
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- W2951858242 date "2006-01-01" @default.
- W2951858242 modified "2023-09-27" @default.
- W2951858242 title "Implied correlation from VaR" @default.
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