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Correlation Dependence

  1. Cutting edge intro: Righting wrong-way risk

    We need to model at least the correlation skew, and ideally the entire structure of dependence. Surprisingly, the modelling of wrong-way risk, the rather inconvenient dependence between exposure and credit quality of the counterparty, is still left...

  2. Energy strategy remains promising for hedge funds despite its volatility

    Controversial methods of extraction are also fuelling concerns about the environmental impact of shale gas production in Europe.While the outlook for European shale gas seems gloomy overall, analysts say some regions, in particular central and...

  3. Highly cultured

    We have seen convergence of industry thinking in some areas such as the use of the loss distribution approach but a lack of consensus in many areas, for example modelling of dependence/correlation. In her view, the main lesson to be taken away from...

  4. Commodities offer alpha win

    Because of its low negative tail dependence to leading hedge fund strategies as well as to indices of hedge fund strategies. But they could reward the investor with high-quality risk-adjusted returns and low negative tail dependence to other...

  5. Default lines

    Credit market prices, then, seem to show that the so-called 'decoupling theory' - whereby inter-regional trade is weaning the region off an over-dependence on the US import market - is still far from a reality.