20
Mistakes in the Market Approach to CorrelationA Lesson For Future Stress-Testing
20.2 From Flat Correlation towards a Realistic Approach
20.2.1 Correlation parameterization for the market skew
20.3 Payoff Stress and the Liquidity Mistake
20.4 Testing with Historical Scenarios and the Concentration Mistake
20.4.1 Historical scenarios to test mapping methods
20.4.1.1 Idiosyncratic crisis: May 2005
20.4.1.2 The Systemic crisis: July 2007
20.4.2 Limits of Mapping and the Management of Model Risk
20.4.2.1 Introducing dispersion as a benchmark for model risk
20.1 Introduction
Most of ...
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