Risk

Variance-covariance-based risk allocation in credit portfolios

Merton-type models, also referred to as structural models, such as PortfolioManager (Kealhofer, 2001) and CreditMetrics (Gupton, Finger & Bhatia, 1997), have become the standard choice for financial ...
Investopedia

How Does Covariance Affect Portfolio Risk and Return?

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Andy Smith is a Certified Financial Planner ...
Investopedia

How to Calculate Value at Risk (VaR) for Financial Portfolios

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
JSTOR Daily

Mutational Contributions to Genetic Variance-Covariance Matrices: An Experimental Approach Using Induced Mutations in Arabidopsis thaliana

This is a preview. Log in through your library . Abstract Genetic potential for evolutionary change and covariational constraints are typically summarized as the genetic variance-covariance matrix G, ...
JSTOR Daily

The Effect of Covariance Structure on Variance Estimation in Balanced Growth-Curve Models with Random Parameters

Intuition suggests that altering the covariance structure of a parametric model for repeated-measures data alters the variances of the model's estimated mean parameters. The purpose of this article is ...
Risk

An easy-to-hedge covariance swap

Since the seminal papers by Neuberger (1990) and Dupire (1993), contracts on volatility and correlation have been of increasing interest. Volatility and correlation products are actively traded on ...