Model behaviour

Correlation Models


The correlation crisis of May has a well-known backdrop. As spreads tightened in the two-and-a-half years prior to the Ford/General Motors (GM) blowout, investors turned their attention to assets such as structured credit that yielded more than bonds. Buyers, largely real-money investors such as insurers, wanted mezzanine tranches - leaving dealers with hefty short positions.

Over the same period, hedge funds also bought structured credit. They were hooked because it enabled them to sep

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: