A Short Introduction to Correlation Markets

Pierre Collin-Dufresne

Journal of Financial Econometrics, 2009, vol. 7, issue 1, 12-29

Abstract: This short note gives a short overview of correlation markets and was prepared for the "Roundtable Discussion on Default Risk Correlation Models" given at the inaugural SoFiE-Conference in June 2008. Copyright The Author 2008. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Date: 2009
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