Random matrix theory provides a clue to correlation dynamics A growing field of mathematical research could help us understand correlation fluctuations, says quant expert ...

Applying these translations to the risk matrix allows the explanation of observations of risk point placement biases. Industry-generated risk matrix data reveals evidence of biases in the judgment of ...

Hybrid correlation matrices Integrating available implied volatility data into a historical correlation matrix is an essential part of calibrating a Monte Carlo credit value adjustment pricing ...