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Correlation Demystified: A General Overview

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

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.

Keywords

Modeling Default Correlations Expected Tranche Loss (ETL) Equity Tranche Portfolio Loss Index Tranches 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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