conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …

correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …