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Correlation Products and Risk Management Issues

This article defines correlation products andexplores the problems they raise for risk management systemsin financial institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff) swap, and describes the much simpler measurement of separable risks in a standard constantmaturity Treasury swap. The article concludes withsome general ways nonseparable risk can be managed.[...]

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Year of publication:	1995-10-01
Authors:	Mahoney, James
Institutions:	Federal Reserve Bank <New York, NY>
Published in:	London School of Economics and Political Science - Publications FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1995, 7-20
Subject:	Regulierung \| Risikomanagement \| risk management \| Portfoliomanagement \| portfolio management \| Produkt \| Korrelation \| Default Correlations

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Extent:	139264 bytes 14 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Financial theory ; Auditing and management control ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005870345