Trade of the month: Correlation
In our second article on correlation, we consider its role in multi-asset products - that is, anything other than a basket product that links to more than one asset
(see part one here)
The distinction between basket and multi-asset products is important. Baskets are popular because investors can choose any group of underlying assets and overlay an appropriate risk profile using a given structure such as principal protection, autocallable or income generation. The choice of components is important and affects the pricing parameters, but performance is a
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