Credit Correlation

Theory and Practice

  • Youssef Elouerkhaoui

Part of the Applied Quantitative Finance book series (AQF)

Table of contents

  1. Front Matter
    Pages i-xxiv
  2. Youssef Elouerkhaoui
    Pages 1-22
  3. Theoretical Tools

    1. Front Matter
      Pages 23-23
    2. Youssef Elouerkhaoui
      Pages 25-52
    3. Youssef Elouerkhaoui
      Pages 53-57
    4. Youssef Elouerkhaoui
      Pages 59-93
  4. Correlation Models: Practical Implementation

    1. Front Matter
      Pages 95-95
    2. Youssef Elouerkhaoui
      Pages 97-138
    3. Youssef Elouerkhaoui
      Pages 139-149
    4. Youssef Elouerkhaoui
      Pages 151-179
    5. Youssef Elouerkhaoui
      Pages 181-194
    6. Youssef Elouerkhaoui
      Pages 195-202
    7. Youssef Elouerkhaoui
      Pages 203-214
    8. Youssef Elouerkhaoui
      Pages 215-222
    9. Youssef Elouerkhaoui
      Pages 223-229
    10. Youssef Elouerkhaoui
      Pages 231-260
    11. Youssef Elouerkhaoui
      Pages 261-283
    12. Youssef Elouerkhaoui
      Pages 285-314
  5. Advanced Topics in Pricing and Risk Management

    1. Front Matter
      Pages 315-315
    2. Youssef Elouerkhaoui
      Pages 317-339
    3. Youssef Elouerkhaoui
      Pages 341-362
    4. Youssef Elouerkhaoui
      Pages 363-379
    5. Youssef Elouerkhaoui
      Pages 381-409
  6. The Next Challenge

    1. Front Matter
      Pages 411-411
    2. Youssef Elouerkhaoui
      Pages 413-446
  7. Back Matter
    Pages 447-456

About this book


This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments). Written at an advanced level, it assumes that readers are familiar with the fundamentals of credit modelling covered, for example, in the market leading books by Schonbucher (2003) and O’Kane (2008). Coverage will include the latest default correlation approaches; correlation modelling in the ‘Marshall-Olkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges.

The explosive growth of credit derivatives markets in the early-to-mid 000’s was bought to a close by the 2007 financial crisis, where these instruments were held largely to blame for the economic downturn. However, in the wake of increased regulation across all financial instruments and the challenge of buying and selling bonds in large amounts, credit derivatives have once again been found to be the answer and the market has grown significantly.Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who want to understand how things happen and work ‘on the floor’. Building the reader’s knowledge from the ground up, and with numerous real life examples used throughout, this book will  prove a popular reference for anyone with a mathematical mind interested credit markets.



Quantitative Finance Credit Theory Practice Financial Services

Authors and affiliations

  • Youssef Elouerkhaoui
    • 1
  1. 1.LondonUnited Kingdom

Bibliographic information

  • DOI
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2017
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-60972-0
  • Online ISBN 978-3-319-60973-7
  • Buy this book on publisher's site