CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perception of the future loss distribution of the underlying credit portfolio. Applying Sklar's seminal decomposition to the distribution of the vector of default times, the portfolio-loss...

This paper presents an intellectual exchange with ChatGPT, an artificial intelligence chatbot, about correlation pitfalls in risk management. The purpose of this discussion is to evaluate ChatGPT’s understanding of these pitfalls and to offer readers an engaging alternative for learning about...