Stability of Correlation Between Credit and Market Risks over Different Holding Periods

Student: Mikheyeva Liudmila

Supervisor: Dmitriy Alexandrovich Kachalov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2017

This study is focused on the application of Jennrich test in order to identify the period of inter-risk correlation stability. We have identified the stability periods by using the Jennrich test for a sample period of three years for half-yearly and quarterly correlation matrices. Investigation of reliable correlation matrices is an important stage in economic capital aggregation model development.

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