Calculating Correlations in the ESG
Document ID: 2004-341 (previously 2004/006)
Published on: 31st August 2004
Author: Niall Cameron, Steven Morrison
An important aspect of ESG modelling is the correlations between various model components - for example the correlation between equity and bond returns within some economy. However, generally speaking it is not possible to directly specify the correlations which are of interest. Rather, correlations between model 'shocks' are specified, and correlations of interest must be deduced from these input correlations. This note provides analytical expressions fro some correlations of interest.
