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Relevant bibliographies by topics / Implied correlation / Dissertations / Theses

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Dissertations / Theses on the topic 'Implied correlation'

Author: Grafiati

Published: 4 June 2021

Last updated: 30 January 2023

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1

Rossi, Claudio Alexander. "Empirical Analysis of Implied Equity Correlation." St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01653419003/$FILE/01653419003.pdf.

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2

Carvalho, Luís Manuel Lopes. "Default correlation implied from portfolio credit derivatives." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1652.

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Mestrado em Finanças<br>Despite the absence of good theoretical models to cope with credit portfolio issues, the development of credit derivative markets and the popularity of portfolio credit derivatives have created the need of handling the issue of default correlations in some way. In that context the copula models emerged and became extremely popular within the industry. In recent studies copula models have been criticized for not being flexible enough and for being a static approach. The recent turmoil on the Asset Backed Security market and the failure of Lehman Brothers, Inc brought to

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3

Eklund, Sofie, and Randa Estaifo. "Modeling implied correlation matrices using option prices." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229817.

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In the process of calculating a fair value it is preferable to price the asset from observable market data. Some assets are valued using variables which can not be directly observed in the market but are instead implied from observable market data. One such variable is the correlation between assets. The purpose of this thesis is to model correlations between stocks based on observable market data. Three different approaches are used to construct implied correlation matrices on OMXS30. All matrices are constructed using implied volatilities from the option market. The methods are then compared

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4

Turkay, Saygun. "Market model of stochastic implied volatility and correlation stress." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.405832.

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5

Eskind, Justin S. "Factors Affecting the Forecasting Ability of Implied Correlation in Currency Options." Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/32.

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Little research has been done into implied correlations, and the small literature grows even smaller when referring to currency options. The existing literature has established that implied correlation is a good if not the best forecaster of future realized correlation, and that this ability to forecast is not necessarily universal. This paper will establish that the forecasting ability of implied correlations in currency options varies across currency pairs, thus proving that not all implied correlations are created equal. Using two different proxies for the quality of the forecaster, the pap

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6

Coleman-Fenn, Christopher Andrew. "Forecasting volatility and correlation : the role of option implied measures." Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/53138/1/Christopher_Coleman-Fenn_Thesis.pdf.

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Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of op

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7

Kureshy, Imran A. 1965. "Credit derivatives : market dimensions, correlation with equity and implied option volatility, regression modeling and statistical price risk." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/17896.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.<br>Includes bibliographical references (leaves 50-51).<br>This research thesis explores the market dimensions of credit derivatives including the prevalent product structures, leading participants, market applications and the issues confronting this relatively new product. We find the market continues to experience significant growth particularly in single name default swaps. This growth is fueled in part by increased participation of hedge funds and applications beyond risk management as an acceptable tr

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8

Melo, Pedro Ricardo Proença. "Credit dependencies : an analysis of European CDS and CDO contracts." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10367.

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Mestrado em Finanças<br>Este estudo tem como objetivo estudar o mercado europeu de CDS e CDO. Através de uma análise econométrica estimaremos a relevância de diversas variáveis para explicar o logaritmo das primeiras diferenças dos spreads das tranches do CDO baseado no iTraxx Europe 5-year. Assim, a nossa amostra é composta por dados diários desde Fevereiro de 2005 até Fevereiro de 2012 das tranches do iTraxx Main 5-year e de proxies para os riscos de crédito, taxa de juro, liquidez e para a volatilidade de mercado e rendibilidades do mercado acionista. Para aferir se houve alterações sig

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9

Andersson, Magnus. "Essays in empirical finance." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2007. http://www2.hhs.se/efi/summary/731.htm.

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10

Lindberg, Andreas. "Classification of Financial Instruments." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252565.

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In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. In this thesis the pricing of financial instruments and behaviour of the market data used as inputs in the models has been investigated. This is to give better insight into what is classified as significant market data, how it is used and how it is approximated. I

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11

Dixon, William Michael. "An Examination of the Common Law Obligation of Good Faith in the Performance and Enforcement of Commercial Contracts in Australia." Thesis, Queensland University of Technology, 2005. https://eprints.qut.edu.au/16123/1/William_Dixon_Thesis.pdf.

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This examination of the common law obligation of good faith in the performance and enforcement of commercial contracts in Australia seeks to achieve a number of objectives. First, to chart the historical development of the implied good faith obligation. Secondly, to identify a number of issues that remain unresolved at Australian lower court level. Thirdly, to consider five doctrinal approaches that could be adopted by the High Court when ultimately confronted by the competing claims and tensions that have proven divisive in the courts below. Fourthly, to assess eac

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12

Dixon, William Michael. "An Examination of the Common Law Obligation of Good Faith in the Performance and Enforcement of Commercial Contracts in Australia." Queensland University of Technology, 2005. http://eprints.qut.edu.au/16123/.

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This examination of the common law obligation of good faith in the performance and enforcement of commercial contracts in Australia seeks to achieve a number of objectives. First, to chart the historical development of the implied good faith obligation. Secondly, to identify a number of issues that remain unresolved at Australian lower court level. Thirdly, to consider five doctrinal approaches that could be adopted by the High Court when ultimately confronted by the competing claims and tensions that have proven divisive in the courts below. Fourthly, to assess each approach again

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13

Tao, Ya-Lan, and 陶亞蘭. "Implied Correlation of CDO─Taiwan Study." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/27348276394777428123.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>96<br>Historical default correlation of reference portfolio lacks predictability for CDO pricing, so default correlation needs to be implied from CDS index and Tranche Index traded by market investors. There are two ways , one is 「Compound Correlation」 and the other one is 「Base Correlation」。Base Correlation can improve the phenomenon of correlation smile and multiple solutions for Compound Correlation。It also can price bespoke tranche。The most popular approach is JPMorgan’s Base Correlation。 If the reference portfolio is inconsistent with the index reference po

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14

Chiu, Hsin-Yu, and 邱信瑜. "Correlation Structure Implied form CDO Markets." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/68949472825566532727.

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碩士<br>國立中央大學<br>財務金融研究所<br>94<br>In this paper, to examine different correlation structures between high and low quality names in a CDO, we separate the portfolio into two groups with different hazard rates. First, under one-factor model, the results show that correlations are higher among low quality names than those among high quality names when controlling the average correlation level. Second, under random factor loadings model, we can calibrate the correlation structures from market spreads. We use four assumptions of correlation structures and conduct a sensitivity analysis. It shows tha

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15

Tsai, Tsung-yi, and 蔡宗益. "Valuation of a CDO with Implied Correlation and Base Correlation." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/99152269555210980962.

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碩士<br>國立中正大學<br>財務金融所<br>95<br>Abstract In general, the implied correlation is higher for equity and most senior tranches than for mezzanine tranches, which is known as the correlation smile. This paper uses Gaussian Copula and One-Factor Gaussian Copula methods to price CDO products, and compares two methods to examine why correlation smile occurs. We change different correlation dependency structures, and different copula functions in this paper. We want to test if the loss distribution or the correlation structures led to correlation smiles. We will use Base Correlation to solve this proble

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16

張仲維. "Implied Correlation Index on Taiwan 50 ETF." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/66700890242711208893.

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碩士<br>國立政治大學<br>國際經營與貿易研究所<br>97<br>This study proposes an innovative methodology for backing-out implied correlation measures from the variance of Taiwan 50 ETF and its constituent stocks. The volatility estimators are based upon the historical opening, closing, high, low prices. This implied correlation index reflects the market view of the future level of the diversification in the market portfolio represented by the index. The methodology is applied to Taiwan 50 ETF. The statistical properties and the dynamics of the proposed implied correlation measure are examined. The evidence of this s

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17

Lin, Keng-Yi, and 林耕毅. "Investigate Implied Correlation By Heston Model - Using Basket Options." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/88286903062775192310.

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碩士<br>南台科技大學<br>財務金融系<br>99<br>As the popularity of basket options continues to rise over the past years, the accurate pricing method for basket options has been of interest to academic researchers and practitioners. Basket options are multi-factor options which belong to exotic options. They are among the most difficult to price and hedge both analytically and numerically due to the fact that the sum of log-normally distributed random variables is not log-normal. Several analytical approaches have been proposed in the literature, among which Ju’s analytical approximation is the most accurate

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18

Nogueira, Vítor Hugo de Andrade e. "Momentum strategies using option-implied correlations." Master's thesis, 2017. http://hdl.handle.net/10400.14/23630.

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Em geral, o perfil risco-retorno da estratégia de momentum é como uma ‘faca’ de dois gumes. Por um lado, a estratégia oferece elevados retornos ajustados ao risco que superam os proporcionados pelas estratégias assentes nos fatores de mercado, value ou size. Mas, por outro lado, este notável desempenho é condicionado por uma elevada exposição ao risco de ‘crash’. i.e., risco de perdas muito elevadas apesar de pouco frequentes. Nesta dissertação pretendemos otimizar a implementação de uma estratégia de momentum no mercado acionista americano (NYSE, NASDAQ e AMEX). Para o efeito utilizamos, pela

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19

彭正修. "The Study of the Correlation between TXO Implied Volatility and TAIEX." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/10375925152061508170.

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20

Peng, Jeng-Shiou, and 彭正修. "The Study of the Correlation between TXO Implied Volatility and TAIEX." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/53715738281626765916.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>92<br>In 1993, the Chicago Board Options Exchange constructed the Market Volatility Index (VIX) based on S&P100 index options implied volatilities. The VIX expresses investors’ consensus view about expected future stock market volatility. This study compares the method that CBOE introduced the VIX and use the TXO implied volatility to construct the Taiwan Market Volatility Index (TVIX). We use the indices to analysis the relationship between TXO implied volatility and TAIEX. The major empirical results are presented as follows: 1. There is a strong negative relations

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21

Fernandes, Afonso José Faria Guimarães. "Betting Against Beta strategies using option-implied correlations." Master's thesis, 2020. http://hdl.handle.net/10400.14/31871.

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A estratégia Betting Against Beta (BAB) oferece retornos ajustados ao risco muito altos, superando outras estratégias baseadas em fatores como o mercado, tamanho, valor, momentum, entre outros. A recente literatura (Barroso & Maio, 2018) constata que a gestão de risco da estratégia BAB (Risk-managed BAB) possibilita um ganho substancial em Sharpe ratio. No entanto, ao contrário da gestão de risco da estratégia momentum, a gestão de risco da estratégia BAB apresenta um elevado potencial de perda. Nesta dissertação, o objetivo é melhorar o perfil risco-retorno da estratégia BAB, reduzindo, princ

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22

Wu, Szu-Wei, and 吳偲維. "Evaluating the Implied Return and Correlation of the Asset Value of the Firm." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/31597663751814202584.

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碩士<br>國立交通大學<br>財務金融研究所<br>98<br>The main subject of this thesis probes into the credit risk contagion problem. When the domino effect arising out of a stock market crash ,both the returns of the firms’ market value and the stock prices simulanteously decrease and the correlations among these companies increase. In order to measure the relevance of a company’s asset return, this thesis does not use historical data to calculate historical backward-looking drifts and correlations among the asset returns. However, this thesis adopts the option pricing model to estimate forward-looking drifts and

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23

Ferreira, Mackenzie Mark Galvão. "Using option-implied information in portfolio selection and risk management." Master's thesis, 2021. http://hdl.handle.net/10400.14/35556.

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The objective of this dissertation is two-fold. The first objective is to examine whether one can use implied information (implied volatility and implied correlations) from the options market to improve the out-of-sample performance of an all-stock optimized portfolio. Portfolio performance is measured using three metrics, namely, returns, volatility, and the Sharpe Ratio. The second objective is to examine the risk metrics of the portfolios to analyze whether a portfolio created using option-implied information is better at predicting risk than one using a conventional sample covariance matri

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