Asymmetric Dependence in Finance

The Guide to Avoiding Downturn Vulnerability by Managing Correlation Dependency Solidly grounded in quantitative finance research, Asymmetric Dependence in Finance is the definitive resource that offers an important analysis of the risks and benefits of asset correlation. The book spans the topics - managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets - that comprise a survey of the most current tools available for measuring and managing this crucial issue. With contributions from noted experts in the field, this book explores the risks and benefits of asset correlation and offers the most current strategies and models that can be implemented to protect investments that are no longer insulated from downturns by simply diversifying funds. It clearly shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market. Correlations between assets significantly increase during market downturns compared to market upturns. The benefits of diversification collapse at the very time fund managers need to rely on diversification. To help investors avoid financial disasters such as the 2008 global financial crisis and the 2006 hedge-fund crisis, the authors outline practical measures that can be implemented to boost fund performance and a proven strategy for putting in place an options-based approach that limits a portfolio's risk. Written for fund managers, investors and financial officers, Asymmetric Dependence in Finance presents the most effective tools and strategies for improving fund, portfolio, and organization performance.