Covariance matrix
Converting a covariance matrix from local currencies to a common currency
The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data.
Performance measures adjusted for the risk situation (PARS)
This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual situation including risk preferences.
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Finding the nearest covariance matrix: the foreign exchange market case
The authors consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix.
Better risk reporting doesn’t need an IT upgrade
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
Hybrid correlation matrices
Hybrid correlation matrices