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Do you have any examples of 2 assets that are non linearly correlated? And any models that calculate portfolio risk based on non-linear correlation?

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    $\begingroup$ Immediate easy example : asset x, and an option on asset x. Though, you should note that this is not correlation, but dependance. But really dependance is what will drive a lot of these, and what causes correlation skew. $\endgroup$ – will Feb 13 at 19:44

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