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A Short Introduction to Correlation Markets

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  • Pierre Collin-Dufresne

Abstract

This short note gives a short overview of correlation markets and was prepared for the "Roundtable Discussion on Default Risk Correlation Models" given at the inaugural SoFiE-Conference in June 2008. Copyright The Author 2008. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Suggested Citation

  • Pierre Collin-Dufresne, 2009. "A Short Introduction to Correlation Markets," Journal of Financial Econometrics, Oxford University Press, vol. 7(1), pages 12-29, Winter.
    • Handle: RePEc:oup:jfinec:v:7:y:2009:i:1:p:12-29
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbn019
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    Cited by:

    1. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
    2. Ackerer Damien & Vatter Thibault, 2017. "Dependent defaults and losses with factor copula models," Dependence Modeling, De Gruyter, vol. 5(1), pages 375-399, December.

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