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- W2116422892 abstract "Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning that the price sensitivity of one risk factor is a function of the level of another risk factor. This article outlines the pricing and hedging of one type of correlation product, the differential swap, to show how nonseparable risk may escape traditional methods of assessing the risk of institutions' portfolios. The article considers the implications of correlation products for supervisory and institutional practices and concludes with a brief discussion of some ways nonseparable risk may be managed." @default.
- W2116422892 created "2016-06-24" @default.
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- W2116422892 date "2007-11-11" @default.
- W2116422892 modified "2023-09-24" @default.
- W2116422892 title "Correlation Products and Risk Management Issues" @default.
- W2116422892 hasPublicationYear "2007" @default.
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