In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of …,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a onefactor or market model and a …

A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying … for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the … topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial …

contagion and amplification. In this work, we analyse the structure and dynamics of the cross-correlation matrix of banks' loan … Matrix Theory (RMT), Principal Component Analysis (PCA) and complex networks, we aim to detect non-random patterns in the …. In particular, the correlation dynamics are mainly driven by a global common factor and a couple of "groups" factors …