John Lounsbury
John Lounsbury
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A Brief History and Analysis of Equity Market Correlations vs. My Analysis [View article]
Very nice study.
The time variation of correlations is a very valuable metric and I believe is much under utilized. Your added work on the interactions of relative volatility with correlations is genius.
It is interesting that beta increases with volatility - that is what one intuitively expects based on the basic concepts of Modern Portfolio Theory, which has been discredited in some other areas of its application, especially areas depending on the time stability of correlations.
Top notch work here. Congratulations.
Financial Company Default Risk [View article]