Correlation Demystified: A General Overview

Part of the Applied Quantitative Finance book series (AQF)


This chapter gives a broad overview of default correlation modelling in the context of pricing and risk managing a correlation trading book. We cover both theoretical and practical market aspects, as well as numerical performance issues.


Modeling Default Correlations Expected Tranche Loss (ETL) Equity Tranche Portfolio Loss Index Tranches 
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© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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