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Correlation Risk Overwhelms the Global Banking Industry

  • Dimitris N. Chorafas
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Banks don’t need to wait until the Basel Committee tells them what they should do in terms of risk control decisions, tests and procedures. That would be a poor policy because, typically, what is included in new rules and directives is the common denominator. Well-governed institutions would want to do much more to be ahead of the curve. A policy which can pay dividends is to pay attention to correlation coefficients, and use them for both experimentation on latent or hidden exposures and for effective risk management.

Keywords

Risk Management Credit Risk Credit Default Swap Basel Committee Collateralized Debt Obligation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Notes

  1. 6.
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  2. 9.
    See D. N. Chorafas, Financial Models and Simulation, Macmillan, London, 1995;CrossRefGoogle Scholar
  3. and D. N. Chorafas, Advanced Financial Analysis, Euromoney Books, London, 1994.Google Scholar
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    D. N. Chorafas, Risk Pricing, Harriman House, London, 2010.Google Scholar
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    D. N. Chorafas, Operational Risk Control with Basel II: Basic Principles and Capital Reauirements, Butterworth-Heinemann. London/Boston. 2004.Google Scholar
  6. 15.
    D. N. Chorafas, Risk Pricing, Harriman House, London, 2010.Google Scholar

Copyright information

© Dimitris N. Chorafas 2012

Authors and Affiliations

  • Dimitris N. Chorafas

There are no affiliations available

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