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Risk modelling in times of crisis
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Orientador(es)
Resumo(s)
Financial market states of high volatility in bear markets are often characterized by an increase in correlation, decreasing the diversification benefits as markets behave more homogeneously. This research focuses on the expectations of correlation and volatility across different asset classes on a risk-parity portfolio by using different measurements of risk to analyze how differently they perform, especially in times of higher volatility and correlation. This work project objective is to measure the impact of dynamically adjusting the variance-covariance matrix when such risk measures alter significantly. Moreover, a clustered risk parity portfolio will be computed with the optimal returns from the asset classes, further improving performance.
Descrição
Palavras-chave
Equal risk contribution Time-varying correlations EWMA