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Results tagged with correlation
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user 9265
A measure of the degree of linear association between a pair of random variables.
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Why is credit exposure higher for a smaller probability of default than for a larger default?
From John Gregory:
We can see that with 50% correlation, wrong-way risk approximately
doubles the EE whilst with 50% correlation the impact of right-way
risk reduces it by at least half. … Negative correlation causes right-way risk.
Let us look into this simple model in a bit more detail. …
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