Portfolio diversification is an important part of investment strategies and one of the cornerstones of Modern Portfolio Theory. The recent financial crisis and global recession put most common ...

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital ...

One of the major aims of asset allocation is to craft a portfolio with ingredients that don’t all behave in exactly the same way. This low-correlation stew offers protection against all assets heading ...

Cboe Implied Correlation Indices are the first widely disseminated market estimates of the average correlation of the stocks that comprise the S&P 500® Index (SPX) Suite of volatility-related indices ...

The credit risk capital requirements within the current Basel II Accord are based on the asymptotic single risk factor (ASRF) approach. The asset correlation parameter, defined as an obligor’s ...