The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES-implied correlation is much closer to true correlations than is the VaR-implied correlation...
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ПОДРОБНАЯ ИНФОРМАЦИЯ
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2019/01/17
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Рабочий документ в рамках исследования вопросов политики
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WPS8709
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1
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1
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2019/01/17
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Disclosed
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A New Tail-Based Correlation Measure and Its Application in Global Equity Markets
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test statistic
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