Correlation - Breaking down - Dislocation in financial markets has caused pricing models for structured credit models to go haywire, causing banks to question their inputs. Does this mean banks have to change their correlation assumptions? Has this had an effect on regulatory or economic capital?
| Year of publication: |
2008
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|---|---|
| Authors: | Wood, Duncan |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 9, p. 30-33
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