Skip Navigation


Journal of Financial Econometrics Advance Access originally published online on December 9, 2008
Journal of Financial Econometrics 2009 7(1):12-29; doi:10.1093/jjfinec/nbn019
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
7/1/12    most recent
nbn019v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Collin-Dufresne, P.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The Author 2008. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org

A Short Introduction to Correlation Markets

Pierre Collin-Dufresne
Address correspondence to Pierre Collin-Dufresne, Carson Family Professor of Finance, Columbia University, New York, NY 10027 USA, or e-mail: pc2415{at}columbia.edu.


  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

Received October 24, 2008; revised October 24, 2008; accepted October 27, 2008


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.