<t>In reading a few different studies I am interested in how implied correlation between assets is calculated. I understand the calculation of basic correlation of a portfolio using historical methods, but that is about the extent of it. I am not sure how to implement the use of the implied volatili...

<t>No uniquenss is not my top priority, however, I have read multiple sources regarding implied volatility and implied correlation and have to come the conclusion that I would at least like to test the theories myself. I believe that implied volatility could be a better indicator of realized volatil...

<t>A little background first. I have a portfolio of spot fx, index, equity, and commodity positions and I am attempting to build a value at risk model for the entire portfolio. I have built a very simple value at risk model in the past for a portfolio of stocks and have relied on Bloomberg for every...