---
title: The Price of Downside and Upside Correlation Risk: cross-sectional evidence
url: https://www.ml-quant.com/papers/ssrn/4811802/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4811802
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4811802
featured: 2024-05-01
citations: 0
topic: Asset Pricing & Factors
---


# The Price of Downside and Upside Correlation Risk: cross-sectional evidence

New metrics of downside and upside aggregate implied correlation from options reveal that downside correlation risk has a significant negative premium, suggesting investors require a hedge against correlation spikes.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4811802
- Identifier: SSRN 4811802
- Released: 2024-04-30
- First featured: Quant Letter No. 47 (2024-05-01): https://www.ml-quant.com/issues/2024-05-01/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Asset Pricing & Factors

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