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Title: The ART of dependence modelling: the latest advances in correlation analysis
Authors: Blum, Peter
Da Costa Dias, Alexandra
Embrechts, Paul
First Published: 1-Jun-2002
Publisher: Risk Waters Group Ltd
Citation: Da Costa Dias, A;Blum, P;Embrechts, P, The ART of dependence modelling: the latest advances in correlation analysis, ed. Lane, M, 'Alternative Risk Strategies', Risk Waters Group, 2002, pp. 339-356
Abstract: Both at the design stage as well as at the pricing stage of Alternative Risk Transfer (ART) products, the notion of low (zero) beta plays an important role. By now it is well known that for these non-standard products, the interpretation of dependence through linear correlation (and hence the portfolio-beta language) becomes dubious. We review some of the new tools (like copulas) to handle the measurement of dependence in ART products. An example will be discussed.
Series/Report no.: Risk Books;
ISBN: 1899332634
Embargo on file until: 1-Jan-10000
Version: Post-print
Status: Peer-reviewed
Type: Chapter
Rights: Copyright © 2002, Risk Waters Group Ltd.
Description: The file associated with this record is under permanent embargo.
Appears in Collections:Books & Book Chapters, School of Management

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