The Dangers of Linear Correlation

Posted: April 21, 2017
in Research

Correlations are present everywhere. The concept of correlation is one of the key constructs of statistics, modelling, simulation. It is used to design portfolios, to estimate risks, to perform VaR analysis, compute Probabilities of Default, etc. A correlation expresses how strongly two variables are interdependent. It is therefore of paramount importance to measure correlations correctly.

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