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RichHuBB
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Joined: February 3rd, 2015, 9:58 am

Equity correlation skew

September 1st, 2016, 7:57 am

 What is the street doing in terms of modelling equity correlation skew? Or is this in the 'too hard' bucket? One would require calibrating surfaces for every asset pair, no?
If it isn't modelled, are there any fudge factors used to account for it?
Ta
 
pompeida9
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Joined: February 4th, 2019, 9:07 pm

Re: Equity correlation skew

August 18th, 2020, 6:59 am

Interested in this one as well. Any views?
Thanks
 
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Alan
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Re: Equity correlation skew

August 18th, 2020, 2:38 pm

What is a careful definition of it?