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  1. David Harper CFA FRM

    Course Correlation Risk Modeling and Management by Gunter Meissner

    We are big fans here at BT of Gunter Meissner who is a perennial FRM author. Before his latest book was added to the syllabus (Correlation Risk Modeling and Management), his previous book Credit Derivatives: Application, Pricing, and Risk Management was assigned for several years and it's a...
  2. R

    Short Equity T + long Mezzannine T (correlation impact?)

    Hi David, I am struggling to understand this concept of loss occurring (i.e Spread change in Equity Tranche and Mezzanine Tranche). 1) Why does Equity Tranche spread increases if the correlation decreases as shown in the graph below. (eg. If correlation is high in the equity tranche - the...
  3. Nicole Seaman

    P2.T5.503. Empirical Properties of Correlation (Meissner)

    Learning outcomes: Describe how equity correlations and correlation volatilities behave throughout various economic states. Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation. Identify the best-fit distribution for equity, bond, and default...
  4. David Harper CFA FRM

    Potential error in P2.T5. MR-9: 3.2.3. Kendall's tau and concordant/discordant pairs

    I wrote to Meissner (I don't see an errata yet for his new book, which is excellent) that I think the example for (3.2.3) Kendall's tau is incorrect. He shows five (x,y) pairs. Five (X,Y) sets implies 10 pairs (of X,Y pairs). 10 is the "triangle number" for 4 = (n-5), see...
  5. Nicole Seaman

    P2.T5.502. Correlation in risk management (Meissner Chapter 1)

    Learning Outcomes: Explain how correlation contributed to the global financial crisis of 2007 to 2009.Explain the role of correlation risk in market, credit, systemic, and concentration risk. Questions: 502.1. Your colleague Mary conveys to you that she has computed a Pearson correlation...