Brady Outlines 'Noise Free' Correlations
BRADY, the Cambridge-based risk management analytics software house, has unveiled a new "noise-free" methodology for estimating correlations between different parts of a yield curve.
Vendor officials say their new technique can be used as an alternative to the figures provided by JP Morgan's Riskmetrics data service for value-at-risk market risk estimation.
A Brady spokesperson says data sets derived using the noise-free methodology can be fed into almost any Riskmetrics-compliant VAR engine.
Brady
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