The correlation debate

Retail Portfolio Risk

These remarks are in response to an article published in the July issue of Risk (Correlation Confusion, pages 59-61). Michael Pykhtin (now at Bank of America) and I have been deeply involved in the Basel II formulation process and contributed to the Basel II securitisation ratings-based approach (RBA) rules - the RBA was calibrated to the Pykhtin-Dev model, published in Risk in May 2002 (pages S16-S20) and January 2003 (pages 113-116). We were also involved in formulating the correlations -

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