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Derivatives

  Derivatives   |   Terms
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  • March 25, 2021
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Correlation Swap

An over-the-counter swap that allows investors to take bets on, or hedge against, risks associated with the empirical correlation of a basket of underlying assets. It pays off the observed statistical correlation between the returns of underlying underlying assets, against a preset price. The underlying assets should be actively traded and have observable prices over measurable periods. Prominent examples are: interest rates, exchange rates, stocks, commodities, etc.


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