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 ...

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 ...

Do stock market correlations matter? Statisticians use correlations (or cross-correlation) to measure the relationship between asset classes or investments. The general idea is to better understand ...

Our results indicate inflation is a strong driver of the higher correlation in asset returns, even if the relationship is non-linear, with the non-linearity evident when inflation moves above Fed ...

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 ...