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Correlation Basics: Definitions, Applications, and Terminology (FRM Part 2 – Book 1 – Chapter 7)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams After completing this reading you should be able to: - Describe financial correlation risk and the areas in which it appears in finance. Explain how correlation contributed to the global financial crisis of 2007 to 2009. - Describe the structure, uses, and payoffs of a correlation swap. - Estimate the impact of different correlations between assets in the trading book on the VaR capital charge. - Explain the role of correlation risk in market risk and credit risk. - Relate correlation risk to systemic and concentration risk. 0:00 Introduction 0:31 Learning Outcomes 1:08 Financial Correlation Risk 12:00 Risk of a Two-asset Portfolio 15:54 Interpreting Covariance 21:55 Interpreting the Return/Risk Ratio 28:44 Multi-Asset Options 29:55 Quanto Option 30:41 Correlation Swaps 35:30 How else can Investors Buy Correlation? 38:55 Impact of Different Correlations on the VaR Capital Charge 44:30 Regulation and Correlation 46:06 How Correlation Contributed to the Global Financial Crisis of 2007 to 2009 47:28 Correlation Risk in Market Risk and Credit Risk Correlation Risk and Market Risk