ISBN 13 : 978-178272-405-6

Contents :
Introduction

1 Correlation Basics: Definitions, Applications, and Terminology
2 Empirical Properties of Correlation: How do Correlations Behave in the real World?
3 The Pearson Correlation Model – Work of the Devil?
4 Cointegration – A Superior Concept to Correlation?
5 Financial Correlation Modelling – Bottom-up Approaches
6 Valuing CDOs with the Gaussian Copula – What Went Wrong?
7 The One-Factor Gaussian Copula Model –Too Simplistic?
8 Financial Correlation Models – Top-Down Approaches
9 Stochastic Correlation Models
10 Quantifying Market Correlation Risk
11 Quantifying Credit Correlation Risk
12 Hedging Correlation Risk
13 Correlation Trading Strategies – Opportunities and Limitations
14 Credit Value at Risk under Basel III – Too Simplistic?
15 Basel III and XVAs
16 Fundamental Review of the Trading Book
17 The Future of Correlation Modelling

Nbre volumes : 0

Language : English

Print : 2ème

Place of publishing : TORONTO

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque