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Correlation, Models, and Risk Management in Challenging Times

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  • Robin L. Lumsdaine

Abstract

This paper considers correlation, models, and risk management in light of recent financial market events. It begins with a review of key contributing factors, then considers the role of liquidity in measuring default risk, and highlights some lessons learned from the experience as events continue to unfold. It concludes by discussing some key ways in which regulators are moving forward to address the current situation, mitigate future risk, and strengthen the resiliency of the global financial system. Copyright The Author 2008. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.

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  • Robin L. Lumsdaine, 2009. "Correlation, Models, and Risk Management in Challenging Times," Journal of Financial Econometrics, Oxford University Press, vol. 7(1), pages 40-51, Winter.
    • Handle: RePEc:oup:jfinec:v:7:y:2009:i:1:p:40-51
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbn018
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    Cited by:

    1. Cameron MacKenzie, 2010. "Book Review," Risk Analysis, John Wiley & Sons, vol. 30(3), pages 524-525, March.
    2. Harvey, Andrew & Thiele, Stephen, 2016. "Testing against changing correlation," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 575-589.

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