var-capital-charge

  1. Nicole Seaman

    P2.T5.22.11 Correlation Basics

    Learning objectives: Describe financial correlation risk and the areas in which it appears in finance. Explain how correlation contributed to the global financial crisis of 2007-2009. Describe the structure, uses, and payoffs of a correlation swap. Estimate the impact of different correlations...
    • Nicole Seaman
    • Thread
    • concentration-risk correlation correlation-risk correlation-swap global-financial-crisis systemic-risk trading-book var-capital-charge
    • Replies: 0
    • Forum: FRM® Practice Questions
Top