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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
• 4 different markets – Canada: S&P TSX total return index – U.S.: S&P 500 total return index – U.K. ... Different pairs of markets considered – Canada – U.S. (high correlation) – U.S. – Japan (low correlation) • Globa ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models