1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.RM2011
Implied correlation from VaR
John Cotter, François Longin
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR cal…
q-fin.RM2011★ 1 cited
Margin setting with high-frequency data1
John Cotter, François Longin
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented…