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Olga Mursajew

Working paper

Dynamic implied correlation modeling and forecasting in structured finance

The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57 trillion in 2008 (BBA, 2006; BIS, 2010). This growth rate highlights the importance of these new instruments in nancial markets. Consequences of the global nancial crisis (GFC), e.g., the...