Looking Through Systemic Risk: Determinants, Stress Testing and Market Value

Chamizo, Alvaro; Novales, Alfonso

doi:10.2139/ssrn.2842580

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Time Evolution Of Correlations1

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2019

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“…Similar results, obtained under a different methodological approach, have been used by Chamizo and Novales (2016b) to suggest sectorial asset allocation recommendations. Table 5 shows descriptive sectorial statistics for the correlations between the time series of estimated MDD and the global credit risk factor or the sectorial credit risk factor, respectively.…”

Section: Time Evolution Of Correlationssupporting

confidence: 66%