A Short Introduction to Correlation Markets
Posted: 3 Jan 2009
Date Written: Winter 2009
Abstract
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
Swiss Finance Institute
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
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