Agnes recently did a lot of work in putting together a short course on correlations from a risk and trading point of view. Unlike the boring text book stuff, there are some interesting lessons and applications here if you want to track correlations over a
In this post on value at risk we will start off with a data series for the USD-EUR Foreign currency exchange rate and see what a tool like Value at Risk can tell us about both the likely as well as the worst case movement for this exchange rate.
My first pitch in front of Ken Morse was a total disaster. The second was no better. The third was a painful write off. By the time I finally won the MIT Sloan white polo shirt from him ten months later, I had given up