Fredrik Akesson

Credit Suisse AG

Giesshübelstrasse 40

Zurich, 8002

Switzerland

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Correlation Breakdown and the Influence of Correlations on VaR

Number of pages: 23 Posted: 17 Apr 2014
Andreas Nawroth, Fabrizio Anfuso and Fredrik Akesson
Credit Suisse AG, PRA, Bank Of England and Credit Suisse AG
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Financial crisis, VaR, Correlation breakdown, Stock return asymmetries, Portfolio diversification, Financial markets