© 2017

Credit Correlation

Theory and Practice

  • Authored by noted expert on credit portfolios and correlation trading and frequent speaker on these topics at all the big quant conferences.

  • Tackles up-to-date credit and default correlation on the market.

  • Renewed interest in credit products, with leading investment house Blackrock leading the charge given challenging market conditions in other areas (e.g. bond trading).


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

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

  1. 1.LondonUnited Kingdom

About the authors

Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit Quantitative Analysis at Citi. His group supports all modelling and product development activities for Credit Markets. This includes: Flow, Correlation, Options and Exotics, CDOs and Emerging Markets. He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for Structured Credit. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais Supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

Youssef is author to numerous professional and academic research articles in mathematical finance for both professional and academic journals, contributed to the book ‘Credit Correlation: Life After Copluas’ (Lipton and Rennie) and is a regular speaker at all the major quantitative finance conferences, including Risk’s Quant Europe, ICBI’s Global Derivatives, and WBSs Fixed Income Conference.

Bibliographic information

  • Book Title Credit Correlation
  • Book Subtitle Theory and Practice
  • Authors Youssef Elouerkhaoui
  • Series Title Applied Quantitative Finance
  • Series Abbreviated Title Applied Quantitative Finance
  • DOI
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2017
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance Economics and Finance (R0)
  • Hardcover ISBN 978-3-319-60972-0
  • Softcover ISBN 978-3-319-86973-5
  • eBook ISBN 978-3-319-60973-7
  • Edition Number 1
  • Number of Pages XXIV, 456
  • Number of Illustrations 67 b/w illustrations, 0 illustrations in colour
  • Topics Financial Services
    Quantitative Finance
  • Buy this book on publisher's site