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Hi, When computing Value at risk with covariance matrix, horizontal and vertical Beta vectors of investment amounts were used in Meisser's book. And, in his example, there are asset A (with 8 million $ and 1.5% std. dev.) and Asset B (with 4 million $ and 2% std. dev) the correlation is 0.6...

Hi! Again, about correlations during the recent financial crisis, it says "Rating agencies downgraded GM and Ford to junk bond status. Following the change in bond ratings, the equity tranche spread increased dramatically. This caused losses on the short equity tranche position. At the same...