Methods and systems to quantify and index correlation risk in financial markets and risk management contracts thereon

A computer-implemented method, the method comprising:

• accessing data including a return on each asset in a plurality of assets over a plurality of points in time in a time period, wherein the return on each asset varies over the plurality of points in time in the time period and the return on each asset in the plurality of assets has at least one unquantified correlation with a return on another asset in the plurality of assets;
• quantifying a plurality of correlation measures between the plurality of asset returns over the plurality of points in time in the time period;
• generating a correlation risk index for the plurality of assets based on the plurality of quantified correlation measures, wherein the correlation risk index has a value and corresponds to a quantification of the plurality of correlation measures;
• accessing updated return data for one or more of the assets in the plurality of assets;
• updating, on an on-going basis, the value of the correlation risk index based on repeating the quantifying and the generating using the updated return data to obtain an updated correlation risk index, and
• displaying, via a graphical user interface, information for the updated correlation risk index.