Operation / risk
Correlation Control rare
correlation control
Definition
A risk rule that caps the aggregate exposure to instruments with high mutual correlation.
Boundary
Correlations estimated in normal conditions break down under stress, so such caps can understate true co-movement.
1 Strategies
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Role distribution
Market regimes
Uptrend0/0Downtrend0/0Range0/0Breakout Onset0/0High Volatility0/0Low Volatility0/0Reversal Inflection0/0All Regimes0/0
Common parameters
No parameter samples.
Frequent co-occurrence
Semantic relations
- Basis ← CorrelationCorrelation control limits highly correlated exposure.
- Basis ← HedgeHedged portfolios require correlation control.
Evidence strategies
Corpus quotes
No quotes.