Click here for guidelines on the submission of technical articles. Monte Carlo simulations for pricing are ubiquitous in finance, particularly for credit valuation adjustments, which are carried out ...

A few years have passed since we last published these asset class correlation matrices, but they're always interesting to take a look at. For reference, a correlation coefficient of 1 means the two ...

This of course is bad news for investors who commonly allocate to both stocks and bonds with the expectation that adding bonds will reduce the risk of a portfolio not only because they have a lower ...

Analysts tend to describe the state of the market using levels – spreads, volatility, or valuations. These measures are intuitive, but they lack the power to fully characterize the true nature of a ...

X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...