Correlation Spike Jacks Up Street Mark-To-Market Losses

14 Mar 2008

Investment banks are said be suffering mark-to-market losses as equity correlation between stocks and their indices rises to record levels.

Investment banks are said be suffering mark-to-market losses as equity correlation between stocks and their indices rises to record levels. Correlation across equity classes and indices has risen between five to 15 points in recent months, traders say, leaving banks facing spiraling prices to hedge short correlation positions. ...

Already a subscriber?

Continue reading this article

Try full access to GlobalCapital

Free trial