Difference between revisions of "Implied Correlation"
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== Definition == | == Definition == | ||
| − | '''Implied Correlation''' is a term used in the context of estimating | + | '''Implied Correlation''' is a term used in the context of estimating [[Correlation]] ([[Dependency]]) between [[Credit Risk]] or [[Market Risk]] when the input data consist of the prices of traded instruments (observable). |
== Usage == | == Usage == | ||
| − | In practise observable prices are used together with a | + | In practise observable prices are used together with a [[Risk Model]] which aims to fit the data under certain [[Model Assumptions]]. The implied correlation is then one of the parameters of the model. |
| + | |||
| + | == See Also == | ||
| + | * [[Default Dependency]] | ||
---- | ---- | ||
[[Category:Risk Measurement]] | [[Category:Risk Measurement]] | ||
Latest revision as of 13:18, 27 September 2021
Definition
Implied Correlation is a term used in the context of estimating Correlation (Dependency) between Credit Risk or Market Risk when the input data consist of the prices of traded instruments (observable).
Usage
In practise observable prices are used together with a Risk Model which aims to fit the data under certain Model Assumptions. The implied correlation is then one of the parameters of the model.
