Library term·Portfolio & valuation
Correlation Breakdown Toward Unity During Systemic Liquidity Spirals
Mechanical diversification failure, covariance eigenstructure spikes, contagion plumbing vs fundamental coupling.
Authored by·Editorially reviewed
Onur Erkan YıldızFounder, Financial Engineer · CMB-licensed
Higher education in Financial Engineering and Money & Capital Markets. SPK (Turkey CMB) licence. 16 years across institutional markets, research, and quant-driven analytics.
Stylised empirical fact Crisis episodes compress orthogonal components — eigenvalues concentrate risk into market factor.
Implications static risk parity matrices mis-estimate diversification benefits conditional on stress
Response dynamic vol targeting liquidity sleeves tail hedges
Finvestopia narrative stress timelines on our commentary echo unity correlation anecdotes — formalised here.
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