The Model Room · MR-036
THE CORRELATIONS HELD FOR SEVEN YEARS. THE RISK COMMITTEE NEVER ASKED WHY. IN AUGUST THEY ALL BROKE ON THE SAME THURSDAY.
I built the correlation model in the winter of 2005, delivering a matrix indicating that bonds and stocks would always move opposite under stress. In August 2015, all key correlations inverted simultaneously, rendering the model unreliable.
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