Variety of Covariance Ellipses

I found it helpful to look at a variety of covariance ellipses for tame distributions so that I would have a better feel for those I come across in the wild. Following is a quick tour that I hope will show the effect of changing the parameters of the distributions of...

Asset Correlation During High Volatility

Prompted by some thoughts from Nassim Taleb, David Einhorn (who compared VaR to “an airbag that works all the time, except when you have a car accident.”) and Ralph Vince (“The Leverage Space Trading Model”, pp 61-65), I decided to take a look at asset...