A Short Introduction to Correlation Markets

Posted: 3 Jan 2009  

Pierre Collin-Dufresne

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne; National Bureau of Economic Research (NBER)

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

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

Pierre Collin-Dufresne (Contact Author)

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne ( email )

Quartier UNIL-Dorigny, Bâtiment Extranef, # 211
40, Bd du Pont-d'Arve
CH-1015 Lausanne, CH-6900
Switzerland

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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