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Derivatives

Technical paper

Hybrid correlation matrices

Author: Someshwar Roy and Ersel Korusoy

Source: Risk magazine | 25 Jan 2012

Categories: Derivatives

Topics: Derivatives, Correlation, Credit value adjustment (CVA), Covariance matrix, Monte Carlo simulation, Time-series analysis

Click here for guidelines on the submission of technical articles. Monte Carlo simulations for pricing are ubiquitous in finance, particularly for credit...

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Hybrid correlation matrices

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