BNET Business Dictionary
Business Definition for: Correlation
- the interdependence between pairs of variables in data
Wiktionary Definition for: Correlation
- #a reciprocal, parallel or complementary relationship between two or more comparable objects
- # mathematics a measure of the statistical relationship between variables
Additional Resources
- Portfolio Variance and Correlation Matrices
- The fact that portfolio variance must be positive implies that the correlation matrix for asset returns should be positive definite. As such, a test for positive definiteness in the correlation matrix should be routinely implemented prior to any portfolio optimization exercise. A program is developed to test for positive definiteness...
- White papers 2003-01-01
- Introducing S&P 500 Applied Correlation Index
- Bill Luby submits: Volatility watchers and risk managers have a new index to watch, starting next Monday: the CBOE S&P 500 Implied Correlation Index. The CBOE announced the new index in a press release Wednesday, noting that the Implied Correlation Index will be tied to two different option maturities...
- External links 2009-07-23
- An Empirical Assessment of Asset Correlation Models
- "Over the last thirty years there has been considerable research on the use of forecasting models to estimate correlation structure of security returns in the areas of asset management and risk management. In the area of credit risk management, portfolio models such as CreditMetrics., CreditRisk+., KMV's Portfolio Manager and McKinsey's...
- White papers 2001-11-04
- First and Last Hour Correlation
- Hickey and Walters Bespoke submit: We are currently running some analysis on intraday market action and its potential impact on the longer-term performance of the market. One of the things we did was calculate the 100-day rolling correlation between the percentage change of the S&P 500 in...
- External links 2009-08-12
- Correlation Shifts and Real Estate Portfolio Management
- There is a tendency for the average correlation among assets to increase when the market falls and vice-versa. Thus, assuming that the correlation between assets is a constant over time seems unrealistic. Nonetheless, these changes in the correlation structure as a consequence of changes in the market's return suggests that...
- White papers 2002-04-01
- Is the future of bonds carved in gold? (Treasury bonds; correlation between bond market, Knight-Ridder Commodity Research Bureau index and gold prices)
- Treasury bond prices can be predicted by examining the correlation between bond prices, the Knight-Ridder Commodity Research Bureau CRB index and gold prices. Studies confirm an inverse correlation between bond prices and the CRB, which is touted as an Treasury bond prices can be predicted by examining the correlation between...
- Research articles 1995-02-01
- Default Correlation in Reduced-Form Models
- Reduced-form models have proven to be a useful tool for analyzing the dynamics of credit spreads. However, some have recently questioned their ability to match the level of empirical default correlation. The key concern appears to be the assumption that defaults are independent conditional on the state variables driving the...
- White papers 2003-09-06
- The Empirical Relationship Between Average Asset Correlation, Firm Probability Of Default And Asset Size
- The asymptotic single risk factor ASRF approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the second Basel Accord. Within this approach, a key regulatory parameter is the average...
- White papers 2002-06-17
- Correlation
- This article explains the concept of Correlation. This is a relatively "simple" concept but absolutely mandatory in the use of investments. It refers to whether or not "different" investments will move at the same time for the same reason and in the same direction. If true, they have a correlation...
- White papers 2003-01-01
- Correlation and Dependence in Risk Management: Properties and Pitfalls
- Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (non-time-dependent) case and emphasizes the copula representation of dependence for a random vector. Linear correlation is a natural dependence measure for multivariate normally and, more generally, elliptically distributed risks...
- White papers 2000-08-09
- Correlation and Simple Linear Regression
- In this paper, the concepts of correlation and regression are reviewed and demonstrated. The authors review and compare two correlation coefficients, the Pearson correlation coefficient and the Spearman p, for measuring linear and nonlinear relationships between two continuous variables. In the case of measuring the linear relationship between a predictor...
- White papers 2003-05-12
- Seagate NerveCenter Pro Is First Event Correlation System to Take Advantage of H-P's Distributed Network Node Manager; Critical Event Correlation and Filtering Features of Seagate NerveCenter Pro 2.6 Enhance Deployment of H-P OpenView NNM 4.1
- CUPERTINO, Calif.--BUSINESS WIRE--July 15, 1996--A new version of the Seagate NerveCenter Pro event correlation system from Seagate Software, Network and Systems Management Group NSMG, a wholly owned subsidiary of Seagate Technology Inc., is the first to provide event correlation and filtering for Hewlett-Packard's distributed OpenView Network Node Manager 4.1. ...
- Research articles 1996-07-15
- Title: Gain Insight In To World Security Event Correlation Console Markets.
- M2 PRESSWIRE-27 April 2007-Research and Markets: Title: Gain Insight In To World Security Event Correlation Console MarketsC1994-2007 M2 COMMUNICATIONS LTD RDATE:27042007 Research and Markets (http://www.researchandmarkets.com/reports/c55347) has announced the addition of the new Frost & Sullivan Report "World Security Event...
- Research articles 2007-04-27
- Fitch Releases Default Correlation Study; Discusses CDO Applications
- Business Editors NEW YORK--BUSINESS WIRE--Feb. 5, 2003 Fitch Ratings releases a study that discusses the development of an empirical methodology utilizing industry correlation to assess default correlation. Fitch calculates asset correlations across industries to determine the impact of correlation on a portfolio's default risk. One of the conclusions...
- Research articles 2003-02-05
- More on the VIX / Treasury Volume Index Correlation
- Tyler Durden submits: In response to a flood of queries, the correlation between the VIX and MOVE (ML's Treasury vol index), is presented below: while the R^2 over the past year is sketchy at 0.585, historical correlation climbs to a sturdier 0.7Assuming the last metric is relevant, the odd...
- External links 2009-06-03
- Testing Alternative Theories of the Property Price - Trading Volume Correlation
- This article examines the correlation between the real housing price and trading volume. Contrary to the predictions of standard rational expectation models, a robust positive correlation between the two variables is identified. While no clear lead-lag relationship is found in the raw data, which is more consistent with the down...
- White papers 2002-01-01
- Testing Alternative Theories of the Property Price-Trading Volume Correlation
- This article examines the correlation between the real housing price and trading volume. Contrary to the predictions of standard rational expectation models, a robust positive correlation between the two variables is identified. While no clear lead-lag relationship is found in the raw data, which is more consistent with the down...
- White papers 2002-01-01
- On Credit Risk in Supply Chains: Is Negative Default Correlation Among Suppliers Desirable?
- This paper studies the effects of credit risk in a supply chain where one retailer deals with competing risky suppliers who may default during their production lead-times. The suppliers, who compete for business with the retailer by establishing wholesale prices, are leaders in a Stackelberg game with the retailer. The...
- White papers 2003-04-30
- Evaluation of Test/Analysis Correlation Methods for Crash Applications
- A project has been initiated to improve crash test and analysis correlation. The work in this paper concentrated on the test and simulation results for a fuselage section. Two drop tests of the section were conducted. The first test was designed to excite the linear structural response for comparison with...
- White papers 2001-03-13
- MISR Cloud Detection Over Ice and Snow Based on Linear Correlation Matching
- Cloud detection is a crucial step in any climate modelling or prediction. Multi-angle Imaging Spectro-Radiometer MISR was launched in 1999 by NASA to provide 9 angle and 4 band data to retrieve or estimate the cloud height and hence cloud detection. However, cloud detection even with MISR data has been...
- White papers 2003-10-08
