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Quantitative Finance · Glossário

O que é Flight to quality, correlation breakdown?

Também chamado de: flight to quality · correlation breakdown

Definition 28.4 Markets III: Commodities, Energy and Crypto · Capítulo 28 — When Markets Break Together

A flight to quality is a shift of investors out of risky assets into those perceived as safest, typically raising the prices of government bonds while other assets fall. A correlation breakdown is a sudden change in the correlations between assets in a stress, usually towards one as forced selling moves them together, which invalidates hedges and risk estimates calibrated in calm.

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