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Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids


Attilio Meucci


SYMMYS; Kepos Capital
May 12, 2011

GARP Risk Professional, pp. 52-53, February 2010

Abstract:     
How to analyze and visualize the propagation law of risk in a multi-dimensional market. Commented code is available for download

Number of Pages in PDF File: 4

Keywords: location, dispersion, diffusion, random walk, invariants, i.i.d.

JEL Classification: C1, G11

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Date posted: February 4, 2010 ; Last revised: May 14, 2011

Suggested Citation

Meucci, Attilio, Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids (May 12, 2011). GARP Risk Professional, pp. 52-53, February 2010 . Available at SSRN: http://ssrn.com/abstract=1548162

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Kepos Capital ( email )
Feedback to SSRN (Beta)


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