Posted: 3 Jan 2009
Date Written: Winter 2009
This short note gives a short overview of correlation markets and was prepared for the “Roundtable Discussion on Default Risk Correlation Models” given at the inaugural SoFiE-Conference in June 2008.
Keywords: CDO, copula, correlation, credit derivatives, implied correlation, synthetic CDO, tranches
Suggested Citation: Suggested Citation
Collin-Dufresne, Pierre, A Short Introduction to Correlation Markets (Winter 2009). Journal of Financial Econometrics, Vol. 7, Issue 1, pp. 12-29, 2009. Available at SSRN: https://ssrn.com/abstract=1320570 or http://dx.doi.org/nbn019