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Stress Testing and Back-testing for UCITS [14]

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Bullet points include: Monthly (log) sector relative price movements for 23 MSCI AC-World sectors with complete series between (30/05/96 and 28/02/09). Bucket each into quantile boxes and plot the number of times each quantile box pairing occurs. Aggregate all possible sector pairs and include all possible unit +/- stances to make four corners of the plot symmetrical. Strong evidence that correlations “tend to unity” in stressed times? Or merely that we are mixing different distributions together?

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