Credit derivatives: In the core of correlation In a follow-up to their - will survive article of last year, Jon Gregory and Jean-Paul Laurent show how to tractably niove beyond a flat correlation matrix, allowing a more realistic treatment and analysis of correlation risk.
| Year of publication: |
2004
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| Authors: | Gregory, Jon ; Laurent, Jean-Paul |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 10, p. 87-91
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