Forward-Looking Asset Correlations in the Estimation of Economic Capital

Abstract

trabajo-del-icaeWorking papers are in draft form and are distributed for discussion. It may not be reproduced without permission of the author/s. Instituto Complutense de Análisis Económico Forward-looking asset correlations in the estimation of economic capital Álvaro Chamizo BBVA.

Market Risk When Hedging a Global Credit Portfolio

“…A higher value of Dliq would indicate high systemic risk and low liquidity. Before the financial crisis, this variable was close to zero.16 Collinearity also inflates the variance of estimates, so that having statistically significant coefficients in the presence of high collinearity is particularly interesting.17Chamizo et al (2019) use this same data set to compare the value at risk estimates of both portfolios.…”