After trading in tandem for much of 2019, individual stock movements now are beginning to diverge sharply. Stock correlation, a measure of how individual stocks trade in relation to each other, has ...

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 ...

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 ...

Past performance is not a guide to future returns. In Figure 2 we show the average correlation coefficients between the FTSE Russell 7-10 year Treasury index and the Russell 1000 index during three ...

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 ...

Simply sign up to the Hedge funds myFT Digest -- delivered directly to your inbox. Hedge funds closely tracked moves in equity markets last year, raising concerns among some commentators that the ...

CHICAGO – July 18, 2022 – Cboe Global Markets, Inc. (Cboe: CBOE), a leading provider of global market infrastructure and tradable products, today announced the expansion of its Cboe Implied ...